เปรียบเทียบวิธี

	ความผันผวนที่รับรู้ได้และแบบจำลอง HAR	Exponential GARCH (EGARCH)
สาขาวิชา	การเงิน	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2009	1991
ผู้ริเริ่ม	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Nelson
ประเภท	Time-series regression of realized variance	Conditional volatility model (asymmetric GARCH variant)
แหล่งต้นตำรับ	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
ชื่อเรียกอื่น	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
ที่เกี่ยวข้อง	5	4
สรุป	Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction.	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.