Sammenlign metoder

	GARCH-modell (volatilitetsprognoser)	ARIMA (Autoregressive Integrated Moving Average) Modell
Fagfelt	Økonometri	Økonometri
Familie	Regression model	Regression model
Opprinnelsesår	1986	2015
Opphavsperson	Tim Bollerslev	Box & Jenkins (Box-Jenkins methodology)
Type	Conditional volatility model	Univariate time-series model
Opprinnelig kilde	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021
Alias	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli
Relaterte	5	5
Sammendrag	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).