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	Model EGARCH z przerwami strukturalnymi	Model DCC-GARCH (Dynamic Conditional Correlation)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	1990–1991	2002
Twórca	Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants	Robert F. Engle
Typ	Volatility model with structural breaks	Multivariate volatility model
Źródło pierwotne	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	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.
Inne nazwy	SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Pokrewne	5	5
Podsumowanie	Structural Break EGARCH combines Nelson's Exponential GARCH framework with explicit allowance for one or more structural breaks in the volatility process. By letting the intercept and persistence parameters of the log-variance equation shift at detected break dates, the model avoids the spurious long-memory and inflated persistence that standard EGARCH suffers when the data contain regime changes.	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.