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| Modèle GARCH de Panel× | Autoregressive Vectoriel (VAR)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1986 (GARCH); panel extension 1990s–2000s | 1980 |
| Auteur d'origine≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Christopher A. Sims |
| Type≠ | Volatility model | Multivariate time-series model |
| Source fondatrice≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alias | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels. | 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. |
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