قارن الطرق

	نموذج DCC-GARCH للكسر الهيكلي	TGARCH (Threshold GARCH with Structural Breaks) لكسر البنية
المجال	الاقتصاد القياسي	الاقتصاد القياسي
العائلة	Regression model	Regression model
سنة النشأة	2002-2006	1990-1993
صاحب الطريقة	Engle (2002) for DCC; break-augmented extensions by Pelletier (2006) and subsequent literature	Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry)
النوع	Multivariate volatility model with regime change	Volatility model
المصدر التأسيسي	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234.
الأسماء البديلة	DCC-GARCH with structural breaks, break-adjusted DCC-GARCH, regime-shift DCC-GARCH, SB-DCC-GARCH	SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH
ذات صلة	5	3
الملخص	Structural break DCC-GARCH extends Engle's Dynamic Conditional Correlation GARCH framework by explicitly allowing the correlation and volatility structure to shift at one or more structural break points in the sample. It models time-varying co-volatility between multiple financial series while accounting for sudden regime changes caused by crises, policy shifts, or market microstructure changes.	Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data.