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| DCC-GARCH (Dynamická podmienená korelácia)× | Exponential GARCH (EGARCH)× | Exponenciálne vyhladzovanie (SES / Holt)× | |
|---|---|---|---|
| Odbor≠ | Financie | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model | Regression model |
| Rok vzniku≠ | 2002 | 1991 | 1957 |
| Tvorca≠ | Robert F. Engle | Nelson | Robert G. Brown (SES); Charles C. Holt (linear trend) |
| Typ≠ | Multivariate volatility model | Conditional volatility model (asymmetric GARCH variant) | Exponential smoothing forecasting model |
| Pôvodný zdroj≠ | 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 ↗ | Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill. link ↗ |
| Ďalšie názvy | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt) |
| Príbuzné≠ | 5 | 4 | 3 |
| Zhrnutie≠ | 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. | Exponential smoothing is a family of basic time-series forecasting models in which each new observation updates a smoothed estimate by a weighting parameter. Simple exponential smoothing (SES), introduced by Robert G. Brown in 1959, forecasts series with a stable level, while Holt's double exponential smoothing, introduced by Charles C. Holt in 1957, adds a trend term using the parameters alpha and beta. |
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