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	Model TVP-EGARCH	Model EGARCH (Exponenciálny GARCH)
Odbor	Ekonometria	Ekonometria
Rodina	Regression model	Regression model
Rok vzniku	1991–2000s	1991
Tvorca	Nelson (1991) for EGARCH; TVP extension developed across the 1990s–2000s literature (e.g., Harvey, Engle and co-authors)	Daniel B. Nelson
Typ	Conditional volatility model	Volatility / conditional variance model
Pôvodný zdroj	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.
Ďalšie názvy	TVP-EGARCH, time-varying EGARCH, EGARCH with time-varying parameters, dynamic parameter EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Príbuzné	3	6
Zhrnutie	The TVP-EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the volatility equation's parameters — including the leverage effect coefficient — to drift continuously over time. This makes it possible to capture structural change and regime evolution in financial return volatility without imposing a fixed break date.	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.