方法对比

	EGARCH model	自回归条件异方差 (ARCH) 模型
领域	计量经济学	计量经济学
方法族	Regression model	Regression model
起源年份	1991	1982
提出者	Daniel B. Nelson	Robert F. Engle
类型	Volatility / conditional variance model	Conditional volatility model
开创性文献	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
别名	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
相关	6	6
摘要	The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.	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.