Krahasoni metodat

	BEKK-GARCH: Modelimi i Volatilitetit të Kushtëzuar Shumëvariancor	DCC-GARCH (Dynamic Conditional Correlation)
Fusha	Ekonometri	Financë
Familja	Regression model	Regression model
Viti i origjinës	1995	2002
Krijuesi	Robert Engle & Kenneth Kroner	Robert F. Engle
Lloji	Multivariate conditional volatility model	Multivariate volatility model
Burimi themelues	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.
Emërtime të tjera	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon
Të lidhura	3	5
Përmbledhja	BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.	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.