방법 비교

	BEKK-GARCH: 다변량 조건부 변동성 모형화	DCC-GARCH (동적 조건부 상관관계)	GARCH 모형 (변동성 예측)	Vector Autoregression (VAR) Model
분야	계량경제학	재무학	계량경제학	계량경제학
계열	Regression model	Regression model	Regression model	Regression model
기원 연도	1995	2002	1986	2005
창시자	Robert Engle & Kenneth Kroner	Robert F. Engle	Tim Bollerslev	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
유형	Multivariate conditional volatility model	Multivariate volatility model	Conditional volatility model	Multivariate time-series model
원전	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
별칭	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
관련	3	5	5	4
요약	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.	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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).