Comparer des méthodes

	Valeur à Risque (VaR)	Autoregressive Conditional Heteroskedasticity généralisée (GARCH)
Domaine	Finance	Économétrie
Famille	Regression model	Regression model
Année d'origine	2007	1986
Auteur d'origine	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Tim Bollerslev
Type	Financial risk measure	Conditional volatility model
Source fondatrice	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Alias	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Apparentées	5	5
Résumé	Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework.	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.