Сравнение методов

	APARCH	Экспоненциальный GARCH (EGARCH)	Модель GARCH (прогнозирование волатильности)
Область	Эконометрика	Эконометрика	Эконометрика
Семейство	Regression model	Regression model	Regression model
Год появления	1993	1991	1986
Автор метода	Ding, Granger & Engle	Nelson	Tim Bollerslev
Тип	Conditional heteroscedasticity model	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Основополагающий источник	Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83–106.	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.
Другие названия	Asymmetric Power ARCH, Power ARCH, APGARCH, Asimetrik Güç ARCH	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Связанные	3	4	5
Сводка	APARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformation of conditional volatility and an asymmetric response to positive and negative shocks. The model nests at least seven well-known ARCH-type specifications as special cases, making it a unifying framework for volatility modelling in financial econometrics.	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.