विधियों की तुलना करें

	BEKK-GARCH: बहुचरणीय सशर्त अस्थिरता मॉडलिंग	डीसीसी-गार्च (गतिशील सशर्त सहसंबंध)
क्षेत्र	अर्थमिति	वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	1995	2002
प्रवर्तक	Robert Engle & Kenneth Kroner	Robert F. Engle
प्रकार	Multivariate conditional volatility model	Multivariate volatility model
मौलिक स्रोत	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.
उपनाम	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon
संबंधित	3	5
सारांश	BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.	DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step.