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	Model ARCH odporny na wartości odstające	Model ARCH (Autoregresywna Heteroskedastyczność Warunkowa)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	2002–2008	1982
Twórca	Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s	Robert F. Engle
Typ	Volatility / conditional heteroscedasticity model	Conditional volatility model
Źródło pierwotne	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.
Inne nazwy	robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Pokrewne	6	6
Podsumowanie	The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series.	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.