Comparer des méthodes

	Test de Breusch-Pagan pour l'hétéroscédasticité	Autoregressive Conditional Heteroskedasticity généralisée (GARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1979	1986
Auteur d'origine	Trevor Breusch & Adrian Pagan	Tim Bollerslev
Type	Lagrange-multiplier test for heteroskedasticity	Conditional volatility model
Source fondatrice	Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Alias	BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Apparentées	3	5
Résumé	The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.