Comparar métodos

	Modelo ARCH (Autoregressive Conditional Heteroskedasticity)	Modelo ARIMA (Autoregressive Integrated Moving Average)	Exponential GARCH (EGARCH)
Área	Econometria	Econometria	Econometria
Família	Regression model	Regression model	Regression model
Ano de origem	1982	2015	1991
Autor original	Robert F. Engle	Box & Jenkins (Box-Jenkins methodology)	Nelson
Tipo	Conditional volatility model	Univariate time-series model	Conditional volatility model (asymmetric GARCH variant)
Fonte seminal	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., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Outros nomes	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Relacionados	6	5	4
Resumo	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.	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).	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.