Compara mètodes

	Model DCC-GARCH bayesià (Bayesian DCC-GARCH)	Model DCC-GARCH (Dynamic Conditional Correlation)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	2002 (DCC); 2000s (Bayesian extension)	2002
Autor original	Engle (2002) for DCC; Bayesian extension via MCMC literature (2000s onwards)	Robert F. Engle
Tipus	Multivariate volatility model	Multivariate volatility model
Font seminal	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.	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.
Àlies	Bayesian DCC-GARCH, Bayesian Dynamic Conditional Correlation, MCMC DCC-GARCH, Bayesian multivariate volatility model	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Relacionats	6	5
Resum	Bayesian DCC-GARCH estimates time-varying correlations across multiple financial or economic series by combining Engle's DCC-GARCH structure with Bayesian inference. Rather than maximising a likelihood, it places prior distributions over all parameters and uses Markov Chain Monte Carlo (MCMC) sampling to produce full posterior distributions, yielding richer uncertainty quantification than classical DCC-GARCH.	The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.