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	Test ARCH-LM na zhlukovanie volatility	Zovšeobecnený autoregresný podmienený heteroskedasticity (GARCH)
Odbor	Ekonometria	Ekonometria
Rodina	Regression model	Regression model
Rok vzniku	1982	1986
Tvorca	Robert F. Engle	Tim Bollerslev
Typ	Lagrange multiplier diagnostic test for conditional heteroscedasticity	Conditional volatility model
Pôvodný zdroj	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.
Ďalšie názvy	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Príbuzné	6	5
Zhrnutie	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.