Regression model
DCC-GARCH (Dynamic Conditional Correlation)
DCC-GARCH ialah model keruwapan multivariat Engle (2002) yang membenarkan korelasi antara beberapa aset berubah mengikut masa. Model GARCH univariat berasingan dipasang pada setiap siri, dan kemudian matriks korelasi dinamik dianggarkan dalam langkah kedua yang berasingan.
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Ahli sahaja
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Method map
The neighbourhood of related methods — select a node to explore.
Sumber
- Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI: 10.1198/073500102288618487 ↗
- Aielli, G. P. (2013). Dynamic Conditional Correlation: On Properties and Estimation. Journal of Business & Economic Statistics, 31(3), 282-299. DOI: 10.1080/07350015.2013.771027 ↗
Cara memetik halaman ini
ScholarGate. (2026, June 1). Dynamic Conditional Correlation GARCH. ScholarGate. https://scholargate.app/ms/finance/dcc-garch
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.
- Model ARIMA (Autoregresif Bersepadu Purata Bergerak)Ekonometrik↔ compare
- Model Copula (Gaussian, t, Clayton, Gumbel, Frank)Kewangan↔ compare
- Exponential GARCH (EGARCH)Ekonometrik↔ compare
- Teori Nilai Extrem (EVT)Kewangan↔ compare
- Value at Risk (VaR)Kewangan↔ compare
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