Bandingkan metode

	Model EGARCH Nonlinear	Model ARCH (Autoregressive Conditional Heteroskedasticity)
Bidang	Ekonometrika	Ekonometrika
Keluarga	Regression model	Regression model
Tahun asal	1991	1982
Pencetus	Daniel B. Nelson	Robert F. Engle
Tipe	Conditional volatility model	Conditional volatility model
Sumber perintis	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.
Alias	NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Terkait	5	6
Ringkasan	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.