Comparer des méthodes

	Modèle DCC-GARCH (Corrélation Conditionnelle Dynamique)	Modèle GARCH (Prévision de la volatilité)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2002	1986
Auteur d'origine	Robert F. Engle	Tim Bollerslev
Type	Multivariate volatility model	Conditional volatility model
Source fondatrice	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alias	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Apparentées	5	5
Résumé	The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.	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.