Comparar métodos

	Modelo DCC-GARCH (Correlação Condicional Dinâmica)	Modelo TGARCH (GARCH Limiar)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	2002	1993-1994
Autor original	Robert F. Engle	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tipo	Multivariate volatility model	Asymmetric volatility model
Fonte seminal	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.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Outros nomes	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Relacionados	5	6
Resumo	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.	The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative.