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| Tidsvarierande parameter ARCH-modell (TVP-ARCH)× | Autoregressiv modell för betingad heteroskedasticitet (ARCH-modell)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1980s–1990s | 1982 |
| Upphovsperson≠ | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature | Robert F. Engle |
| Typ≠ | Conditional heteroscedasticity model with time-varying coefficients | Conditional volatility model |
| Ursprungskälla | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| Alias | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| Närliggande≠ | 5 | 6 |
| Sammanfattning≠ | The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime. | 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. |
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