השוואת שיטות

	מודל ARCH (Autoregressive Conditional Heteroskedasticity)	מודל DCC-GARCH (מתאם מותנה דינמי)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1982	2002
הוגה השיטה	Robert F. Engle	Robert F. Engle
סוג	Conditional volatility model	Multivariate volatility model
מקור מכונן	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	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.
כינויים	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
קשורות	6	5
תקציר	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.