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	Autoregressiv modell för betingad heteroskedasticitet (ARCH-modell)	Kvantilregression
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1982	1978
Upphovsperson	Robert F. Engle	Koenker & Bassett
Typ	Conditional volatility model	Conditional quantile regression
Ursprungskälla	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Alias	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	conditional quantile regression, regression quantiles, Kantil Regresyon
Närliggande	6	5
Sammanfattning	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.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.