Sammenlign metoder

	Eksponentiell GARCH (EGARCH)	Generalisert Autoregressiv Betinget Heteroskedastisitet (GARCH)	GJR-GARCH (Asymmetrisk GARCH)
Fagfelt	Økonometri	Økonometri	Økonometri
Familie	Regression model	Regression model	Regression model
Opprinnelsesår	1991	1986	1993
Opphavsperson	Nelson	Tim Bollerslev	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)
Type	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model	Asymmetric conditional volatility model
Opprinnelig kilde	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.	Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.
Alias	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)
Relaterte	4	5	5
Sammendrag	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.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).