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| BEKK-GARCH: Višekomponentno modeliranje uvjetne volatilnosti× | DCC-GARCH (dinamička uvjetna korelacija)× | |
|---|---|---|
| Područje≠ | Ekonometrija | Financije |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1995 | 2002 |
| Tvorac≠ | Robert Engle & Kenneth Kroner | Robert F. Engle |
| Vrsta≠ | Multivariate conditional volatility model | Multivariate volatility model |
| Temeljni izvor≠ | Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. DOI ↗ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ |
| Drugi nazivi | BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon |
| Srodne≠ | 3 | 5 |
| Sažetak≠ | 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. |
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