Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| DCC-GARCH (Dynamic Conditional Correlation)× | GARCH Exponențial (EGARCH)× | Teoria Valorilor Extreme (EVT)× | |
|---|---|---|---|
| Domeniu≠ | Finanțe | Econometrie | Finanțe |
| Familie | Regression model | Regression model | Regression model |
| Anul apariției≠ | 2002 | 1991 | 2001 |
| Autorul original≠ | Robert F. Engle | Nelson | Coles (textbook treatment); McNeil, Frey & Embrechts |
| Tip≠ | Multivariate volatility model | Conditional volatility model (asymmetric GARCH variant) | Tail / extreme-event model |
| Sursa seminală≠ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598 |
| Denumiri alternative≠ | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold |
| Înrudite≠ | 5 | 4 | 5 |
| Rezumat≠ | DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. | Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold. |
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