Krahasoni metodat

	Modeli Panel DCC-GARCH	Model DCC-GARCH (Korelacion Dinamik Kushtëzuar)
Fusha	Ekonometri	Ekonometri
Familja	Regression model	Regression model
Viti i origjinës	2002	2002
Krijuesi	Robert F. Engle	Robert F. Engle
Lloji	Multivariate volatility model	Multivariate volatility model
Burimi themelues	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	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.
Emërtime të tjera	DCC-GARCH panel, panel dynamic conditional correlation, multivariate DCC-GARCH, Panel DCC	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC
Të lidhura	5	5
Përmbledhja	The Panel DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation GARCH framework to panel data settings, jointly modelling time-varying volatility and cross-sectional correlations across multiple units (countries, firms, or assets) over time. It allows pairwise correlations to vary dynamically in response to market shocks while preserving parsimony via a two-step estimation.	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.