Vertaile menetelmiä

	DCC-GARCH (Dynamic Conditional Correlation)	ARIMA (Autoregressive Integrated Moving Average) -malli	Eksponentiaalinen GARCH (EGARCH)
Tieteenala	Rahoitus	Ekonometria	Ekonometria
Menetelmäperhe	Regression model	Regression model	Regression model
Syntyvuosi	2002	2015	1991
Kehittäjä	Robert F. Engle	Box & Jenkins (Box-Jenkins methodology)	Nelson
Tyyppi	Multivariate volatility model	Univariate time-series model	Conditional volatility model (asymmetric GARCH variant)
Alkuperäislähde	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Rinnakkaisnimet	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Liittyvät	5	5	4
Tiivistelmä	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.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.