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| Modello DCC-GARCH a Parametri Variabili nel Tempo× | Modello GARCH (Previsione della Volatilità)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2002 (DCC-GARCH); TVP extension 2010s | 1986 |
| Ideatore≠ | Robert F. Engle (DCC-GARCH); TVP extension developed in applied finance literature | Tim Bollerslev |
| Tipo≠ | Multivariate volatility model with time-varying correlation | Conditional volatility model |
| Fonte seminale≠ | Engle, R. (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 ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Alias | TVP-DCC-GARCH, time-varying DCC-GARCH, dynamic conditional correlation GARCH with TVP, TVP dynamic conditional correlation model | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Correlati≠ | 4 | 5 |
| Sintesi≠ | The TVP-DCC-GARCH model extends the Dynamic Conditional Correlation GARCH framework by allowing not only the pairwise correlations but also the underlying model parameters to evolve continuously over time. It captures structural shifts in volatility dynamics and cross-asset dependence, making it essential for financial risk modelling in non-stationary environments. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
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