Regression modelEconometrics / time series
EGARCH Model (Exponential GARCH)
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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Sources
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI: 10.2307/2938260 ↗
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI: 10.1016/0304-4076(86)90063-1 ↗
Related methods
Referenced by
ARCH modelBayesian EGARCHBayesian GARCH modelBayesian TGARCHDCC-GARCH modelFourier DCC-GARCHFourier GARCH ModelFourier TGARCHNonlinear ARCH modelNonlinear DCC-GARCH modelNonlinear EGARCH modelNonlinear GARCH modelNonlinear TGARCH modelPanel EGARCHPanel GARCH modelRobust ARCH modelRobust EGARCHRobust GARCH modelRobust TGARCHStructural Break ARCH ModelStructural Break EGARCHStructural Break TGARCHTGARCH modelTime-varying parameter ARCH modelTime-varying parameter EGARCH modelTime-varying parameter GARCH modelTime-varying parameter TGARCH model