השוואת שיטות
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| מודל DCC-GARCH לא-לינארי (מתאם דינמי מותנה א-סימטרי)× | מודל EGARCH (Exponential GARCH)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 2006 | 1991 |
| הוגה השיטה≠ | Cappiello, Engle & Sheppard | Daniel B. Nelson |
| סוג≠ | Multivariate volatility and correlation model | Volatility / conditional variance model |
| מקור מכונן≠ | Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537–572. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| כינויים | ADCC-GARCH, Asymmetric DCC-GARCH, NL-DCC-GARCH, Nonlinear Asymmetric DCC | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| קשורות≠ | 2 | 6 |
| תקציר≠ | The Nonlinear DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation framework by allowing correlations to respond asymmetrically to negative versus positive return shocks. Proposed by Cappiello, Engle, and Sheppard (2006), it is the standard tool for measuring time-varying co-movement and contagion effects in multivariate financial time series when bad news is expected to increase correlations more than good news. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
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