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	Model DCC-GARCH z przełamaniem strukturalnym	TGARCH ze Zmianami Strukturalnymi (Threshold GARCH ze Zmianami Strukturalnymi)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	2002-2006	1990-1993
Twórca	Engle (2002) for DCC; break-augmented extensions by Pelletier (2006) and subsequent literature	Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry)
Typ	Multivariate volatility model with regime change	Volatility model
Źródło pierwotne	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.	Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234.
Inne nazwy	DCC-GARCH with structural breaks, break-adjusted DCC-GARCH, regime-shift DCC-GARCH, SB-DCC-GARCH	SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH
Pokrewne	5	3
Podsumowanie	Structural break DCC-GARCH extends Engle's Dynamic Conditional Correlation GARCH framework by explicitly allowing the correlation and volatility structure to shift at one or more structural break points in the sample. It models time-varying co-volatility between multiple financial series while accounting for sudden regime changes caused by crises, policy shifts, or market microstructure changes.	Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data.