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	DCC-GARCH (Dynamic Conditional Correlation)	Modele kopułowe (Gaussowska, t, Clayton, Gumbel, Frank)	Wykładniczy GARCH (EGARCH)	Teoria wartości ekstremalnych (EVT)
Dziedzina	Finanse	Finanse	Ekonometria	Finanse
Rodzina	Regression model	Regression model	Regression model	Regression model
Rok powstania	2002	1959	1991	2001
Twórca	Robert F. Engle	Sklar (1959); dependence-concept treatment by Joe (1997)	Nelson	Coles (textbook treatment); McNeil, Frey & Embrechts
Typ	Multivariate volatility model	Dependence model	Conditional volatility model (asymmetric GARCH variant)	Tail / extreme-event model
Źródło pierwotne	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut Statistique de l'Université de Paris, 8, 229-231.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598
Inne nazwy	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	copulas, dependence copulas, vine copulas, Kopula Modelleri (Gaussian, t, Clayton, Gumbel, Frank)	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold
Pokrewne	5	5	4	5
Podsumowanie	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.	Copula models are a family of functions that describe the dependence structure between variables separately from their individual (marginal) distributions. The foundation is Sklar's theorem (1959), which shows that any multivariate distribution can be split into its marginals plus a copula; Joe (1997) developed the modern catalogue of dependence concepts. They are central to portfolio risk and credit modelling.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.	Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.