Vertaile menetelmiä

	Robust ARCH -malli	GARCH-malli (volatiliteetin ennustaminen)	Kvanttiiliregressio
Tieteenala	Ekonometria	Ekonometria	Ekonometria
Menetelmäperhe	Regression model	Regression model	Regression model
Syntyvuosi	2002–2008	1986	1978
Kehittäjä	Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s	Tim Bollerslev	Koenker & Bassett
Tyyppi	Volatility / conditional heteroscedasticity model	Conditional volatility model	Conditional quantile regression
Alkuperäislähde	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Rinnakkaisnimet	robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	conditional quantile regression, regression quantiles, Kantil Regresyon
Liittyvät	6	5	5
Tiivistelmä	The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.