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	Icke-linjär ARIMA-modell	GARCH-modellen (prognostisering av volatilitet)
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1978-1994	1986
Upphovsperson	Howell Tong (SETAR/TAR framework); Timo Terasvirta (STAR extensions)	Tim Bollerslev
Typ	Nonlinear time series model	Conditional volatility model
Ursprungskälla	Tong, H. (1990). Non-Linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 9780198522249	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alias	nonlinear ARIMA, NARIMA, nonlinear time series model, nonlinear Box-Jenkins model	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Närliggande	3	5
Sammanfattning	The Nonlinear ARIMA model extends the classical Box-Jenkins ARIMA framework by allowing the conditional mean of a time series to depend on past values and past errors through a nonlinear function. It encompasses families such as Threshold AR (TAR/SETAR), Smooth Transition AR (STAR/LSTAR/ESTAR), and Markov-switching models, capturing asymmetric dynamics, regime changes, and business-cycle asymmetries that linear ARIMA cannot represent.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.