Confronta i metodi

	Modello GARCH Non Lineare	Modello ARCH (Autoregressive Conditional Heteroskedasticity)
Campo	Econometria	Econometria
Famiglia	Regression model	Regression model
Anno di origine	1991-1993	1982
Ideatore	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Robert F. Engle
Tipo	Volatility model	Conditional volatility model
Fonte seminale	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Alias	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Correlati	6	6
Sintesi	The Nonlinear GARCH model extends the standard GARCH framework to capture asymmetric and nonlinear responses of conditional volatility to past shocks. It allows negative returns (bad news) to amplify volatility more than positive returns of equal magnitude, a phenomenon known as the leverage effect, which is empirically pervasive in financial markets.	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.