So sánh phương pháp

	Value at Risk (VaR)	Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Lĩnh vực	Tài chính	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	2007	1986
Người khởi xướng	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Tim Bollerslev
Loại	Financial risk measure	Conditional volatility model
Công trình gốc	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Tên gọi khác	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Liên quan	5	5
Tóm tắt	Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.