Comparar métodos

	Modelo DCC-GARCH com Ruptura Estrutural	TGARCH com Quebra Estrutural (Threshold GARCH com Quebras Estruturais)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	2002-2006	1990-1993
Autor original	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)
Tipo	Multivariate volatility model with regime change	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.	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.
Outros nomes	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
Relacionados	5	3
Resumo	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.