So sánh phương pháp

	Kiểm định Breusch-Pagan về phương sai sai số thay đổi	Exponential GARCH (EGARCH)	GJR-GARCH (GARCH bất đối xứng)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model	Regression model
Năm ra đời	1979	1991	1993
Người khởi xướng	Trevor Breusch & Adrian Pagan	Nelson	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)
Loại	Lagrange-multiplier test for heteroskedasticity	Conditional volatility model (asymmetric GARCH variant)	Asymmetric conditional volatility model
Công trình gốc	Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.
Tên gọi khác	BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)
Liên quan	3	4	5
Tóm tắt	The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated.	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.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).