Сравнение на методи

	Модел на DCC-GARCH със структурни прекъсвания	Векторна авторегресия (VAR)
Област	Иконометрия	Иконометрия
Семейство	Regression model	Regression model
Година на възникване	2002-2006	1980
Създател	Engle (2002) for DCC; break-augmented extensions by Pelletier (2006) and subsequent literature	Christopher A. Sims
Тип	Multivariate volatility model with regime change	Multivariate time-series model
Основополагащ източник	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.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Други названия	DCC-GARCH with structural breaks, break-adjusted DCC-GARCH, regime-shift DCC-GARCH, SB-DCC-GARCH	VAR, VAR model, vector autoregressive model, multivariate autoregression
Свързани	5	5
Резюме	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.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.