Bandingkan kaedah

	Model GARCH Bukan Linear	Model DCC-GARCH (Dynamic Conditional Correlation)
Bidang	Ekonometrik	Ekonometrik
Keluarga	Regression model	Regression model
Tahun asal	1991-1993	2002
Pengasas	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Robert F. Engle
Jenis	Volatility model	Multivariate volatility model
Sumber perintis	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.
Alias	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Berkaitan	6	5
Ringkasan	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.