Comparer des méthodes

	Modèle à changement de régime markovien (MS-AR / MS-VAR)	Autoregressive Conditional Heteroskedasticity généralisée (GARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1989	1986
Auteur d'origine	Hamilton (1989); Kim & Nelson (1999)	Tim Bollerslev
Type	Regime-switching time series model	Conditional volatility model
Source fondatrice	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Alias	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Apparentées	5	5
Résumé	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.	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.