השוואת שיטות

	מודל ARCH בייסיאני	מודל ARCH (Autoregressive Conditional Heteroskedasticity)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1982 (ARCH); 1989 (Bayesian estimation)	1982
הוגה השיטה	Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989)	Robert F. Engle
סוג	Volatility model with Bayesian inference	Conditional volatility model
מקור מכונן	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.
כינויים	Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
קשורות	6	6
תקציר	The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH.	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.