方法对比

	Asymmetric Power ARCH (APARCH) (非对称幂自回归条件异方差模型): 金融收益率的灵活波动率建模	指数 GARCH (EGARCH)	GJR-GARCH (不对称 GARCH)
领域	计量经济学	计量经济学	计量经济学
方法族	Regression model	Regression model	Regression model
起源年份	1993	1991	1993
提出者	Ding, Granger & Engle	Nelson	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)
类型	Conditional heteroscedasticity model	Conditional volatility model (asymmetric GARCH variant)	Asymmetric conditional volatility model
开创性文献	Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83–106.	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.
别名	Asymmetric Power ARCH, Power ARCH, APGARCH, Asimetrik Güç ARCH	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)
相关	3	4	5
摘要	APARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformation of conditional volatility and an asymmetric response to positive and negative shocks. The model nests at least seven well-known ARCH-type specifications as special cases, making it a unifying framework for volatility modelling in financial econometrics.	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).