Usporedite metode

	Model ARIMA (Autoregresivni integrirani pokretni prosjek)	DCC-GARCH (dinamička uvjetna korelacija)	EGARCH (Exponential GARCH)
Područje	Ekonometrija	Financije	Ekonometrija
Obitelj	Regression model	Regression model	Regression model
Godina nastanka	2015	2002	1991
Tvorac	Box & Jenkins (Box-Jenkins methodology)	Robert F. Engle	Nelson
Vrsta	Univariate time-series model	Multivariate volatility model	Conditional volatility model (asymmetric GARCH variant)
Temeljni izvor	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Drugi nazivi	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Srodne	5	5	4
Sažetak	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	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.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.