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| 自回归条件异方差 (ARCH) 模型× | 指数 GARCH (EGARCH)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1982 | 1991 |
| 提出者≠ | Robert F. Engle | Nelson |
| 类型≠ | Conditional volatility model | Conditional volatility model (asymmetric GARCH variant) |
| 开创性文献≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| 别名 | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| 相关≠ | 6 | 4 |
| 摘要≠ | The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. | 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. |
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