Comparer des méthodes

	Modèle ARCH à paramètres variant dans le temps (TVP-ARCH)	Modèle ARCH (Hétéroscédasticité Conditionnelle Autorégressive)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1980s–1990s	1982
Auteur d'origine	Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature	Robert F. Engle
Type	Conditional heteroscedasticity model with time-varying coefficients	Conditional volatility model
Source fondatrice	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Alias	TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Apparentées	5	6
Résumé	The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime.	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.