Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model ARCH (Autoregresivní podmíněná heteroskedasticita)× | Vektorová autoregrese (VAR)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1982 | 1980 |
| Tvůrce≠ | Robert F. Engle | Christopher A. Sims |
| Typ≠ | Conditional volatility model | Multivariate time-series model |
| Původní zdroj≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Další názvy | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Příbuzné≠ | 6 | 5 |
| Shrnutí≠ | 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. | 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. |
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