เปรียบเทียบวิธี

	แบบจำลอง Panel GARCH	แบบจำลอง ARCH (Autoregressive Conditional Heteroskedasticity)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1986 (GARCH); panel extension 1990s–2000s	1982
ผู้ริเริ่ม	Bollerslev (1986); extended to panel settings in subsequent literature	Robert F. Engle
ประเภท	Volatility model	Conditional volatility model
แหล่งต้นตำรับ	Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
ชื่อเรียกอื่น	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
ที่เกี่ยวข้อง	6	6
สรุป	The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels.	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.