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	Modèle DCC-GARCH de Fourier	Autoregressive Vectoriel (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2002 (DCC-GARCH); Fourier extension applied from mid-2010s onward	1980
Auteur d'origine	Engle (2002) for DCC-GARCH; Fourier extension by Gallant (1981) and later applied in financial econometrics	Christopher A. Sims
Type	Multivariate volatility model with smooth structural breaks	Multivariate time-series model
Source fondatrice	Engle, R. (2002). Dynamic conditional correlations: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	Fourier DCC-GARCH, Fourier-augmented DCC-GARCH, DCC-GARCH with Fourier terms, smooth structural break DCC-GARCH	VAR, VAR model, vector autoregressive model, multivariate autoregression
Apparentées	5	5
Résumé	The Fourier DCC-GARCH model extends Engle's Dynamic Conditional Correlation GARCH framework by embedding Fourier trigonometric terms in the conditional mean or variance equations. This allows the model to approximate smooth, gradual structural shifts in volatility dynamics and inter-asset correlations without requiring knowledge of the number or timing of break points.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.