Võrdle meetodeid

	Generaliseeritud Autoregressiivne Tingimuslik Heteroskedastilisus (GARCH)	Hooajaline ARIMA (SARIMA)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1986	2015
Looja	Tim Bollerslev	Box & Jenkins (seasonal extension of ARIMA)
Tüüp	Conditional volatility model	Seasonal time-series model
Algallikas	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Box, G.E.P., Jenkins, G.M., Reinsel, G.C. & Ljung, G.M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021
Rööpnimetused	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	seasonal ARIMA, Box-Jenkins seasonal model, SARIMA — Mevsimsel ARIMA
Seotud	5	5
Kokkuvõte	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	SARIMA is a seasonal extension of the Box-Jenkins ARIMA model that adds seasonal differencing and seasonal autoregressive and moving-average terms. Developed within the Box, Jenkins, Reinsel and Ljung framework (5th edition, 2015), it forecasts series whose pattern repeats on a yearly, monthly, or weekly period.