เปรียบเทียบวิธี

	แบบจำลองเบย์เซียน GARCH	แบบจำลอง ARCH (Autoregressive Conditional Heteroskedasticity)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1989–2000	1982
ผู้ริเริ่ม	Geweke (1989); further developed by Nakatsuma (2000) and Bauwens & Lubrano (1998)	Robert F. Engle
ประเภท	Bayesian volatility model	Conditional volatility model
แหล่งต้นตำรับ	Geweke, J. (1989). Exact predictive densities for linear models with ARCH disturbances. Journal of Econometrics, 40(1), 63–86.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
ชื่อเรียกอื่น	Bayesian GARCH, BGARCH, GARCH with Bayesian inference, Bayesian volatility model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
ที่เกี่ยวข้อง	4	6
สรุป	The Bayesian GARCH model combines the GARCH framework for time-varying volatility with Bayesian posterior inference. Instead of maximising a likelihood, it specifies prior distributions for the GARCH parameters and draws from the resulting posterior — typically via Markov chain Monte Carlo (MCMC) — to quantify both point estimates and full uncertainty about volatility dynamics.	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.