Comparer des méthodes

	Modèle EGARCH Robuste	Modèle DCC-GARCH (Corrélation Conditionnelle Dynamique)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2008	2002
Auteur d'origine	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Robert F. Engle
Type	Robust volatility model	Multivariate volatility model
Source fondatrice	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	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.
Alias	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Apparentées	6	5
Résumé	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.