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	Model EGARCH z przerwami strukturalnymi	Model EGARCH (Exponential GARCH)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	1990–1991	1991
Twórca	Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants	Daniel B. Nelson
Typ	Volatility model with structural breaks	Volatility / conditional variance model
Źródło pierwotne	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Inne nazwy	SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Pokrewne	5	6
Podsumowanie	Structural Break EGARCH combines Nelson's Exponential GARCH framework with explicit allowance for one or more structural breaks in the volatility process. By letting the intercept and persistence parameters of the log-variance equation shift at detected break dates, the model avoids the spurious long-memory and inflated persistence that standard EGARCH suffers when the data contain regime changes.	The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.