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DCC-GARCH/Evidence
Method evidence record

DCC-GARCH

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.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Dynamic Conditional Correlation GARCH
Taxonomic method record · regression-model / finance
  • 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
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyCopula Modelsmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyExtreme Value Theorymachine-suggested · Relational suggestion, not evidence.Same method familyValue at Riskmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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