Comparer des méthodes

	Modèle GARCH (Prévision de la volatilité)	Modèle de Vector Autoregression (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1986	2005
Auteur d'origine	Tim Bollerslev	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Type	Conditional volatility model	Multivariate time-series model
Source fondatrice	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Apparentées	5	4
Résumé	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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).