เปรียบเทียบวิธี

	แบบจำลอง ARCH (Autoregressive Conditional Heteroskedasticity)	แบบจำลอง ARIMA (Autoregressive Integrated Moving Average)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1982	1970
ผู้ริเริ่ม	Robert F. Engle	George Box and Gwilym Jenkins
ประเภท	Conditional volatility model	Time series forecasting model
แหล่งต้นตำรับ	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.
ชื่อเรียกอื่น	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)
ที่เกี่ยวข้อง	6	6
สรุป	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 ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.