Comparar métodos

	Modelo ARCH Bayesiano	Modelo DCC-GARCH (Correlação Condicional Dinâmica)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1982 (ARCH); 1989 (Bayesian estimation)	2002
Autor original	Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989)	Robert F. Engle
Tipo	Volatility model with Bayesian inference	Multivariate volatility model
Fonte seminal	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	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.
Outros nomes	Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Relacionados	6	5
Resumo	The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH.	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.