So sánh phương pháp

	Mô hình EGARCH với tham số thay đổi theo thời gian	Mô hình GARCH (Dự báo Biến động)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1991–2000s	1986
Người khởi xướng	Nelson (1991) for EGARCH; TVP extension developed across the 1990s–2000s literature (e.g., Harvey, Engle and co-authors)	Tim Bollerslev
Loại	Conditional volatility model	Conditional volatility model
Công trình gốc	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Tên gọi khác	TVP-EGARCH, time-varying EGARCH, EGARCH with time-varying parameters, dynamic parameter EGARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Liên quan	3	5
Tóm tắt	The TVP-EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the volatility equation's parameters — including the leverage effect coefficient — to drift continuously over time. This makes it possible to capture structural change and regime evolution in financial return volatility without imposing a fixed break date.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.