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| DCC-GARCH-model (Dynamisk Betinget Korrelation)× | TGARCH-model (Threshold GARCH)× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2002 | 1993-1994 |
| Ophavsperson≠ | Robert F. Engle | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) |
| Type≠ | Multivariate volatility model | Asymmetric volatility model |
| Oprindelig kilde≠ | 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. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| Aliasser | DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH |
| Relaterede≠ | 5 | 6 |
| Resumé≠ | 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. | The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative. |
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