Comparer des méthodes

	Test ARCH-LM pour le regroupement de la volatilité	Modèle à changement de régime markovien (MS-AR / MS-VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982	1989
Auteur d'origine	Robert F. Engle	Hamilton (1989); Kim & Nelson (1999)
Type	Lagrange multiplier diagnostic test for conditional heteroscedasticity	Regime-switching time series model
Source fondatrice	Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Alias	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Apparentées	6	5
Résumé	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.