Comparer des méthodes

	Modèle ARCH (Hétéroscédasticité Conditionnelle Autorégressive)	Régression quantile
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982	1978
Auteur d'origine	Robert F. Engle	Koenker & Bassett
Type	Conditional volatility model	Conditional quantile regression
Source fondatrice	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Alias	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	conditional quantile regression, regression quantiles, Kantil Regresyon
Apparentées	6	5
Résumé	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.	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.