Regression model
DCC-GARCH (Dynamic Conditional Correlation)
DCC-GARCH er Engle's (2002) multivariate volatilitetsmodel, der lader korrelationerne mellem flere aktiver ændre sig over tid. En separat univariat GARCH-model tilpasses hver serie, og derefter estimeres den dynamiske korrelationsmatrix i et andet, separat trin.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI: 10.1198/073500102288618487 ↗
- Aielli, G. P. (2013). Dynamic Conditional Correlation: On Properties and Estimation. Journal of Business & Economic Statistics, 31(3), 282-299. DOI: 10.1080/07350015.2013.771027 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 1). Dynamic Conditional Correlation GARCH. ScholarGate. https://scholargate.app/da/finance/dcc-garch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- ARIMA (Autoregressive Integrated Moving Average) ModelØkonometri↔ compare
- Kopulamodeller (Gaussisk, t, Clayton, Gumbel, Frank)Finansiering↔ compare
- Exponential GARCH (EGARCH)Økonometri↔ compare
- Ekstremværditeori (EVT)Finansiering↔ compare
- Value at Risk (VaR)Finansiering↔ compare
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