Comparer des méthodes

	Modèle ARCH (Hétéroscédasticité Conditionnelle Autorégressive)	Autoregressive Vectoriel (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982	1980
Auteur d'origine	Robert F. Engle	Christopher A. Sims
Type	Conditional volatility model	Multivariate 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.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	VAR, VAR model, vector autoregressive model, multivariate autoregression
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.	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.