Methoden vergelijken

	Exponential GARCH (EGARCH)	GARCH-model (Volatiliteitsvoorspelling)
Vakgebied	Econometrie	Econometrie
Familie	Regression model	Regression model
Jaar van ontstaan	1991	1986
Grondlegger	Nelson	Tim Bollerslev
Type	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Oorspronkelijke bron	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Aliassen	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Verwant	4	5
Samenvatting	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.