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| Nelinearni EGARCH model× | EGARCH model (eksponencijalni GARCH)× | |
|---|---|---|
| Oblast | Ekonometrija | Ekonometrija |
| Porodica | Regression model | Regression model |
| Godina nastanka | 1991 | 1991 |
| Tvorac | Daniel B. Nelson | Daniel B. Nelson |
| Tip≠ | Conditional volatility model | Volatility / conditional variance model |
| Temeljni izvor | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Drugi nazivi | NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Srodne≠ | 5 | 6 |
| Sažetak≠ | The Nonlinear EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the news impact function to take a flexible nonlinear form, capturing asymmetric and nonlinear responses of conditional volatility to past shocks. It is widely used in financial econometrics to model leverage effects and complex volatility dynamics in asset returns. | 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. |
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