Regression modelEconometrics / time series
非线性EGARCH模型
非线性EGARCH模型通过允许新闻影响函数采用灵活的非线性形式，扩展了Nelson（1991）的指数GARCH模型，从而捕捉条件波动率对过去冲击的不对称和非线性响应。它在金融计量经济学中被广泛用于模拟资产收益中的杠杆效应和复杂的波动率动态。
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来源
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI: 10.2307/2938260 ↗
- Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749–1778. DOI: 10.1111/j.1540-6261.1993.tb05127.x ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Exponential Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-egarch-model
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- TGARCH 模型（阈值 GARCH）计量经济学↔ compare