Vertaile menetelmiä

	BEKK-GARCH: Monimuuttujainen ehdollisen volatiliteetin mallinnus	DCC-GARCH (Dynamic Conditional Correlation)	GARCH-malli (volatiliteetin ennustaminen)
Tieteenala	Ekonometria	Rahoitus	Ekonometria
Menetelmäperhe	Regression model	Regression model	Regression model
Syntyvuosi	1995	2002	1986
Kehittäjä	Robert Engle & Kenneth Kroner	Robert F. Engle	Tim Bollerslev
Tyyppi	Multivariate conditional volatility model	Multivariate volatility model	Conditional volatility model
Alkuperäislähde	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Rinnakkaisnimet	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Liittyvät	3	5	5
Tiivistelmä	BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.	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.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.