مقایسهٔ روش‌ها

	مدل پانل GARCH	مدل ARCH (ناهمسان‌گسیختگی شرطی خودرگرسیو)
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1986 (GARCH); panel extension 1990s–2000s	1982
پدیدآور	Bollerslev (1986); extended to panel settings in subsequent literature	Robert F. Engle
نوع	Volatility model	Conditional volatility model
منبع بنیادین	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.
نام‌های دیگر	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
مرتبط	6	6
خلاصه	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.