Сравнение методов

	Модель ARCH с структурными сдвигами	Модель GARCH (прогнозирование волатильности)
Область	Эконометрика	Эконометрика
Семейство	Regression model	Regression model
Год появления	1982–1990	1986
Автор метода	Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence	Tim Bollerslev
Тип	Volatility model with regime change	Conditional volatility model
Основополагающий источник	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Другие названия	ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Связанные	5	5
Сводка	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 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.