Compara mètodes

	Model GARCH de Panell	Model ARCH (Autoregressive Conditional Heteroskedasticity)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1986 (GARCH); panel extension 1990s–2000s	1982
Autor original	Bollerslev (1986); extended to panel settings in subsequent literature	Robert F. Engle
Tipus	Volatility model	Conditional volatility model
Font seminal	Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Àlies	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Relacionats	6	6
Resum	The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels.	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.