مقایسهٔ روش‌ها

	مدل پانل GARCH	خودبازگشتی برداری (VAR)
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1986 (GARCH); panel extension 1990s–2000s	1980
پدیدآور	Bollerslev (1986); extended to panel settings in subsequent literature	Christopher A. Sims
نوع	Volatility model	Multivariate time-series model
منبع بنیادین	Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
نام‌های دیگر	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	VAR, VAR model, vector autoregressive model, multivariate autoregression
مرتبط	6	5
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.	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.