Módszerek összehasonlítása

	Nemlineáris GARCH modell	DCC-GARCH modell (Dinamikus Feltételes Korreláció)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1991-1993	2002
Megalkotó	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Robert F. Engle
Típus	Volatility model	Multivariate volatility model
Alapmű	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801.	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.
Alternatív nevek	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Kapcsolódó	6	5
Összefoglaló	The Nonlinear GARCH model extends the standard GARCH framework to capture asymmetric and nonlinear responses of conditional volatility to past shocks. It allows negative returns (bad news) to amplify volatility more than positive returns of equal magnitude, a phenomenon known as the leverage effect, which is empirically pervasive in financial markets.	The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.