Comparar métodos

	Modelo DCC-GARCH de Panel	TGARCH Panel (GARCH de Umbral para Datos de Panel)
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	2002	1993–1994 (panel extension: 2000s onward)
Autor original	Robert F. Engle	Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature
Tipo	Multivariate volatility model	Asymmetric conditional volatility model
Fuente seminal	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801.
Alias	DCC-GARCH panel, panel dynamic conditional correlation, multivariate DCC-GARCH, Panel DCC	Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model
Relacionados	5	4
Resumen	The Panel DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation GARCH framework to panel data settings, jointly modelling time-varying volatility and cross-sectional correlations across multiple units (countries, firms, or assets) over time. It allows pairwise correlations to vary dynamically in response to market shocks while preserving parsimony via a two-step estimation.	Panel TGARCH extends the Threshold GARCH (GJR-GARCH) model to panel data, allowing each cross-sectional unit to exhibit asymmetric volatility responses — where negative shocks generate larger variance increases than positive shocks of the same magnitude — while exploiting the cross-sectional dimension to obtain more efficient parameter estimates.