方法对比
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| 结构性断点 ARCH 模型× | EGARCH model× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1982–1990 | 1991 |
| 提出者≠ | Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence | Daniel B. Nelson |
| 类型≠ | Volatility model with regime change | Volatility / conditional variance model |
| 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 with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| 相关≠ | 5 | 6 |
| 摘要≠ | The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit. | 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. |
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