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	Model ARCH (Autoregresywna Heteroskedastyczność Warunkowa)	Model ARMA (Autoregresyjny Model Średniej Ruchomej)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	1982	1970
Twórca	Robert F. Engle	George E. P. Box and Gwilym M. Jenkins
Typ	Conditional volatility model	Time series model
Źródło pierwotne	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
Inne nazwy	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)
Pokrewne	6	5
Podsumowanie	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.	The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting.