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| 异方差的 Breusch-Pagan 检验× | 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≠ | 1979 | 1991 |
| 提出者≠ | Trevor Breusch & Adrian Pagan | Nelson |
| 类型≠ | Lagrange-multiplier test for heteroskedasticity | Conditional volatility model (asymmetric GARCH variant) |
| 开创性文献≠ | Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| 别名 | 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 |
| 相关≠ | 3 | 4 |
| 摘要≠ | 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. |
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