विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| पैनल डीसीसी-गार्च मॉडल× | वेक्टर ऑटोरिग्रेशन (VAR)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2002 | 1980 |
| प्रवर्तक≠ | Robert F. Engle | Christopher A. Sims |
| प्रकार≠ | Multivariate volatility model | Multivariate time-series model |
| मौलिक स्रोत≠ | Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| उपनाम | DCC-GARCH panel, panel dynamic conditional correlation, multivariate DCC-GARCH, Panel DCC | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| संबंधित | 5 | 5 |
| सारांश≠ | The Panel DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation GARCH framework to panel data settings, jointly modelling time-varying volatility and cross-sectional correlations across multiple units (countries, firms, or assets) over time. It allows pairwise correlations to vary dynamically in response to market shocks while preserving parsimony via a two-step estimation. | 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. |
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