เปรียบเทียบวิธี

	แบบจำลองพารามิเตอร์ผันแปรตามเวลา ARCH (TVP-ARCH)	แบบจำลอง ARCH (Autoregressive Conditional Heteroskedasticity)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1980s–1990s	1982
ผู้ริเริ่ม	Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature	Robert F. Engle
ประเภท	Conditional heteroscedasticity model with time-varying coefficients	Conditional volatility model
แหล่งต้นตำรับ	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
ชื่อเรียกอื่น	TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
ที่เกี่ยวข้อง	5	6
สรุป	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.