Compara mètodes

	Model ARMA robust	Regressió quantílica
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	2002–2008	1978
Autor original	Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s	Koenker & Bassett
Tipus	Volatility / conditional heteroscedasticity model	Conditional quantile regression
Font seminal	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Àlies	robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model	conditional quantile regression, regression quantiles, Kantil Regresyon
Relacionats	6	5
Resum	The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.