Comparar métodos

	Modelo ARCH (Autoregressive Conditional Heteroskedasticity)	Modelo ARMA (Média Móvel Autorregressiva)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1982	1970
Autor original	Robert F. Engle	George E. P. Box and Gwilym M. Jenkins
Tipo	Conditional volatility model	Time series model
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. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
Outros nomes	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)
Relacionados	6	5
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.	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.