So sánh phương pháp

	Mô hình GARCH phi tuyến	Mô hình Tự hồi quy Vector (VAR)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1991-1993	1980
Người khởi xướng	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Christopher A. Sims
Loại	Volatility model	Multivariate time-series model
Công trình gốc	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. Journal of Finance, 48(5), 1779-1801.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Tên gọi khác	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	VAR, VAR model, vector autoregressive model, multivariate autoregression
Liên quan	6	5
Tóm tắt	The Nonlinear GARCH model extends the standard GARCH framework to capture asymmetric and nonlinear responses of conditional volatility to past shocks. It allows negative returns (bad news) to amplify volatility more than positive returns of equal magnitude, a phenomenon known as the leverage effect, which is empirically pervasive in financial markets.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.