方法对比

	非线性季节性自回归积分滑动平均模型	GARCH 模型（波动率预测）
领域	计量经济学	计量经济学
方法族	Regression model	Regression model
起源年份	1990–2000	1986
提出者	Tong (1990) for threshold nonlinear extensions; Franses & van Dijk (2000) for empirical finance applications	Tim Bollerslev
类型	Nonlinear time series model	Conditional volatility model
开创性文献	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.
别名	NL-SARIMA, nonlinear seasonal ARIMA, threshold SARIMA, smooth transition SARIMA	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
相关	3	5
摘要	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.