مقایسهٔ روش‌ها

	مدل ARCH (ناهمسان‌گسیختگی شرطی خودرگرسیو)	خودبازگشتی برداری (VAR)
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1982	1980
پدیدآور	Robert F. Engle	Christopher A. Sims
نوع	Conditional volatility model	Multivariate time-series model
منبع بنیادین	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
نام‌های دیگر	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	VAR, VAR model, vector autoregressive model, multivariate autoregression
مرتبط	6	5
خلاصه	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.