Порівняння методів

	Нелінійна модель SARIMA	Модель GARCH (Прогнозування волатильності)
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	1990–2000	1986
Автор методу	Tong (1990) for threshold nonlinear extensions; Franses & van Dijk (2000) for empirical finance applications	Tim Bollerslev
Тип	Nonlinear time series model	Conditional volatility model
Основоположне джерело	Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0198523000	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Інші назви	NL-SARIMA, nonlinear seasonal ARIMA, threshold SARIMA, smooth transition SARIMA	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Пов'язані	3	5
Підсумок	The Nonlinear SARIMA model extends the classical Seasonal ARIMA framework by replacing the linear conditional mean function with a nonlinear specification — such as threshold switching or smooth transition — while retaining seasonal differencing and lag structure. It is used when seasonal time series exhibit regime-dependent dynamics, asymmetric adjustment, or other nonlinear patterns that a linear model cannot capture.	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.