Compară metode

	Modelul Bayesian ARCH	Modelul DCC-GARCH (Corelație Condițională Dinamică)
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	1982 (ARCH); 1989 (Bayesian estimation)	2002
Autorul original	Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989)	Robert F. Engle
Tip	Volatility model with Bayesian inference	Multivariate volatility model
Sursa seminală	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.
Denumiri alternative	Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Înrudite	6	5
Rezumat	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.