ScholarGate
Pembantu
Regression modelEconometrics / time series

Model DCC-GARCH (Dynamic Conditional Correlation)

Model DCC-GARCH, diperkenalkan oleh Engle (2002), melanjutkan GARCH univariat untuk menangkap korelasi yang berubah mengikut masa antara beberapa siri masa kewangan. Ia menguraikan matriks kovariansan bersyarat multivariat kepada proses-proses volatiliti individu dan matriks korelasi dinamik, membolehkan korelasi berfluktuasi dari semasa ke semasa sambil kekal boleh dikira walaupun dengan banyak siri.

Terapkan dengan EconMindTidak lama lagiVideoTidak lama lagiDownload slides

Baca kaedah sepenuhnya

Ahli sahaja

Log masuk dengan akaun percuma untuk membaca bahagian ini.

Log masuk

Method map

The neighbourhood of related methods — select a node to explore.

Model DCC-GARCH (Dynamic Conditional Correlation)
Model ARCH (Heteroskedas…Model EGARCH (Exponentia…Ujian Kausaliti GrangerModel TGARCH (Threshold…Autoregresi Vektor (VAR)Model ARCH BayesianBayesian Dynamic Conditi…TGARCH Bayesian (Thresho…Model Fourier DCC-GARCHModel GARCH Fourier

+12 more

Sumber

  1. 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 ↗
  2. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. DOI: 10.2307/1912773 ↗

Cara memetik halaman ini

ScholarGate. (2026, June 3). Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/ms/econometrics/dcc-garch-model

Which method?

Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.

Compare side by side →

Dirujuk oleh

Model ARCH (Heteroskedastisitas Bersyarat Autoregresif)Model ARCH BayesianBayesian Dynamic Conditional Correlation GARCH (Bayesian DCC-GARCH)TGARCH Bayesian (Threshold GARCH dengan Anggaran Bayesian)Model EGARCH (Exponential GARCH)Model Fourier DCC-GARCHModel GARCH FourierModel Fourier TGARCHModel DCC-GARCH Tak Linear (Korelasi Bersyarat Dinamik Asimetri)Model GARCH Bukan LinearModel DCC-GARCH PanelModel Panel GARCHRegresi Kuantil-pada-Kuantil (QQ)GARCH Korelasi Bersyarat Dinamik Robust (Robust DCC-GARCH)Model EGARCH TeguhRobust TGARCHModel DCC-GARCH Pecah StrukturModel EGARCH Pecahan StrukturModel TGARCH (Threshold GARCH)Model Pekali Boleh Ubah Masa DCC-GARCH

Terjumpa masalah pada halaman ini? Laporkan atau cadangkan pembetulan →

ScholarGate — DCC-GARCH model (Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity Model). Dicapai 2026-06-15 daripada https://scholargate.app/ms/econometrics/dcc-garch-model · Set data: https://doi.org/10.5281/zenodo.20539026