方法对比

	EGARCH model	向量自回归 (VAR)
领域	计量经济学	计量经济学
方法族	Regression model	Regression model
起源年份	1991	1980
提出者	Daniel B. Nelson	Christopher A. Sims
类型	Volatility / conditional variance model	Multivariate time-series model
开创性文献	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
别名	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH	VAR, VAR model, vector autoregressive model, multivariate autoregression
相关	6	5
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.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.