Bandingkan kaedah

	GJR-GARCH (GARCH Asimetri)	Model ARCH (Heteroskedastisitas Bersyarat Autoregresif)	Exponential GARCH (EGARCH)
Bidang	Ekonometrik	Ekonometrik	Ekonometrik
Keluarga	Regression model	Regression model	Regression model
Tahun asal	1993	1982	1991
Pengasas	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)	Robert F. Engle	Nelson
Jenis	Asymmetric conditional volatility model	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Sumber perintis	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. The 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.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alias	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Berkaitan	5	6	4
Ringkasan	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).	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.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.