Comparar métodos

	Modelo ARCH Robusto	Modelo EGARCH (GARCH Exponencial)	Modelo GARCH (Previsão de Volatilidade)	Regressão Quantílica
Área	Econometria	Econometria	Econometria	Econometria
Família	Regression model	Regression model	Regression model	Regression model
Ano de origem	2002–2008	1991	1986	1978
Autor original	Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s	Daniel B. Nelson	Tim Bollerslev	Koenker & Bassett
Tipo	Volatility / conditional heteroscedasticity model	Volatility / conditional variance model	Conditional volatility model	Conditional quantile regression
Fonte seminal	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	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.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Outros nomes	robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	conditional quantile regression, regression quantiles, Kantil Regresyon
Relacionados	6	6	5	5
Resumo	The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series.	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.	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.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.