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Structural break DCC-GARCH
Structural break DCC-GARCH extends Engle's Dynamic Conditional Correlation GARCH framework by explicitly allowing the correlation and volatility structure to shift at one or more structural break points in the sample. It models time-varying co-volatility between multiple financial series while accounting for sudden regime changes caused by crises, policy shifts, or market microstructure changes.
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Structural Break Dynamic Conditional Correlation GARCH Model
Taksonomski zapis metode · regression-model / econometrics
- Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. · DOI 10.1198/073500102288618487
- Pelletier, D. (2006). Regime switching for dynamic correlations. Journal of Econometrics, 131(1-2), 445-473. · DOI 10.1016/j.jeconom.2005.01.013
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