השוואת שיטות

	מודל EGARCH לא-לינארי	מודל ARCH (Autoregressive Conditional Heteroskedasticity)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1991	1982
הוגה השיטה	Daniel B. Nelson	Robert F. Engle
סוג	Conditional volatility model	Conditional volatility model
מקור מכונן	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.
כינויים	NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
קשורות	5	6
תקציר	The Nonlinear EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the news impact function to take a flexible nonlinear form, capturing asymmetric and nonlinear responses of conditional volatility to past shocks. It is widely used in financial econometrics to model leverage effects and complex volatility dynamics in asset returns.	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.