Comparar métodos

	Exponential GARCH (EGARCH)	Modelo de Markov com Troca de Regimes (MS-AR / MS-VAR)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1991	1989
Autor original	Nelson	Hamilton (1989); Kim & Nelson (1999)
Tipo	Conditional volatility model (asymmetric GARCH variant)	Regime-switching time series model
Fonte seminal	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Outros nomes	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Relacionados	4	5
Resumo	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 Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.