So sánh phương pháp

	Mô hình ARCH Bayes	Mô hình ARCH (Autoregressive Conditional Heteroskedasticity)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1982 (ARCH); 1989 (Bayesian estimation)	1982
Người khởi xướng	Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989)	Robert F. Engle
Loại	Volatility model with Bayesian inference	Conditional volatility model
Công trình gốc	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.
Tên gọi khác	Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Liên quan	6	6
Tóm tắt	The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH.	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.