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	ARCH model (autoregresivna uslovna heteroskedastičnost)	EGARCH model (eksponencijalni GARCH)
Oblast	Ekonometrija	Ekonometrija
Porodica	Regression model	Regression model
Godina nastanka	1982	1991
Tvorac	Robert F. Engle	Daniel B. Nelson
Tip	Conditional volatility model	Volatility / conditional variance model
Temeljni izvor	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.
Drugi nazivi	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Srodne	6	6
Sažetak	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.	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.