Compară metode

	Modelul Arh Nonliniar (NARCH)	Modelul ARCH (Autoregresiv Conditional Eteroskedastic)
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	1992	1982
Autorul original	Higgins & Bera	Robert F. Engle
Tip	Volatility model	Conditional volatility model
Sursa seminală	Higgins, M. L., & Bera, A. K. (1992). A class of nonlinear ARCH models. International Economic Review, 33(1), 137-158.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Denumiri alternative	NARCH, Nonlinear ARCH, nonlinear conditional heteroscedasticity model, NARCH model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Înrudite	4	6
Rezumat	The Nonlinear ARCH (NARCH) model, introduced by Higgins and Bera (1992), extends Engle's original ARCH framework by allowing the power transformation of volatility to be estimated from the data rather than fixed at two. This flexibility captures a broader class of volatility dynamics observed in financial and macroeconomic time series.	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.