পদ্ধতির তুলনা করুন

	GARCH	DCC-GARCH (Dynamic Conditional Correlation)
ক্ষেত্র	অর্থমিতি	অর্থায়ন
পরিবার	Regression model	Regression model
উদ্ভবের বছর	1986	2002
প্রবর্তক	Tim Bollerslev	Robert F. Engle
ধরন	Conditional volatility model	Multivariate volatility model
মৌলিক উৎস	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.
অপর নাম	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon
সম্পর্কিত	5	5
সারসংক্ষেপ	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.	DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step.