Bandingkan metode

	Model EGARCH Nonlinear	Model EGARCH (Exponential GARCH)
Bidang	Ekonometrika	Ekonometrika
Keluarga	Regression model	Regression model
Tahun asal	1991	1991
Pencetus	Daniel B. Nelson	Daniel B. Nelson
Tipe	Conditional volatility model	Volatility / conditional variance model
Sumber perintis	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Alias	NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
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 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.