I want to know the differences between EGARCH, APARCH, TGARCH, QGARCH, GJRGARCH, IGARCH, AVGARCH, PGARCH, GARCH-M and the standard GARCH. I tried to find the information by myself but I cannot find the answer, so I really need your help. My work is find the different thing of GARCH and other GARCH model that why make their work or paper not use only standard GARCH for example i found this GARCH model cannot capture asymmetric and leverage effect and also explain negative and positive shock have effect in same direction, but EGARCH can capture asymmetric and explain negative and positive shocks
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$\begingroup$ Hello. As of now, this is certainly very broad. Please narrow down your scope and add your relevant specifications, your requirements. $\endgroup$– User1865345Commented Nov 22, 2022 at 5:50
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$\begingroup$ See Bollerslev "Glossary to ARCH" (2009) and Ghalanos "Introduction to the rugarch package" (2022). $\endgroup$– Richard HardyCommented Nov 22, 2022 at 6:03
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$\begingroup$ My work is find the different thing of GARCH and other GARCH model that why make their work or paper not use only standard GARCH for example i found this GARCH model cannot capture asymmetric and leverage effect and also explain negative and positive shock have effect in same direction, but EGARCH can capture asymmetric and explain negative and positive shocks. $\endgroup$– TharinwatCommented Nov 22, 2022 at 6:04
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$\begingroup$ @Tharinwat please add any relevant info in your question body and not as a comment. $\endgroup$– User1865345Commented Nov 22, 2022 at 6:13
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The question requires either an article-long answer or some references. I will provide the latter. For an extensive overview of different GARCH models, see Bollerslev "Glossary to ARCH (GARCH)" (2009) and Ghalanos "Introduction to the rugarch package" (2022).
answered Nov 22, 2022 at 6:10
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$\begingroup$ This is a good approach: provide a useful reference. +1. $\endgroup$ Commented Nov 22, 2022 at 6:12
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$\begingroup$ @Richard thanks a lot for your help $\endgroup$ Commented Nov 22, 2022 at 6:25
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$\begingroup$ @Tharinwat if you think Richard's post answered your query, please upvote and accept it by clicking the tick symbol alongside the post. $\endgroup$ Commented Nov 22, 2022 at 7:04