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| Bayesiansk EGARCH-modell× | EGARCH-modellen (Exponential GARCH)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1991 (EGARCH); 2000s (Bayesian estimation) | 1991 |
| Upphovsperson≠ | Nelson (1991) for EGARCH; Bayesian inference via MCMC developed from early 2000s | Daniel B. Nelson |
| Typ≠ | Volatility model with Bayesian inference | Volatility / conditional variance model |
| Ursprungskälla | 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 ↗ |
| Alias | Bayesian EGARCH model, Bayesian Exponential GARCH, EGARCH with Bayesian estimation, B-EGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | The Bayesian EGARCH model combines Nelson's (1991) Exponential GARCH specification — which models the log of conditional variance and captures the leverage effect — with Bayesian posterior inference via Markov Chain Monte Carlo (MCMC). This allows full uncertainty quantification of all volatility parameters, including the asymmetry coefficient, without requiring large-sample normality of the estimates. | 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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