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| Модель структурного розриву TGARCH (порігова GARCH зі структурними розривами)× | Модель EGARCH (Експоненційна GARCH)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1990-1993 | 1991 |
| Автор методу≠ | Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry) | Daniel B. Nelson |
| Тип≠ | Volatility model | Volatility / conditional variance model |
| Основоположне джерело≠ | Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Інші назви | SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Пов'язані≠ | 3 | 6 |
| Підсумок≠ | Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data. | 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. |
| ScholarGateНабір даних ↗ |
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