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	Model ARCH z przerwami strukturalnymi	Model ARCH (Autoregresywna Heteroskedastyczność Warunkowa)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	1982–1990	1982
Twórca	Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence	Robert F. Engle
Typ	Volatility model with regime change	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	ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Pokrewne	5	6
Podsumowanie	The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit.	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.