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DCC-GARCH/Ushahidi
Rekodi ya ushahidi wa mbinu

DCC-GARCH

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.

Sources recorded, not reviewed

Rekodi ya chanzo

Nukuu zimehamishwa kwa uhalisi kutoka kwa rekodi ya chanzo cha mbinu. Hakuna uthibitisho wa kiwango cha dai unaodokezwa kutoka kwao.

Dynamic Conditional Correlation GARCH
Rekodi ya mbinu ya kiajenda · regression-model / finance
  • Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. · DOI 10.1198/073500102288618487
  • Aielli, G. P. (2013). Dynamic Conditional Correlation: On Properties and Estimation. Journal of Business & Economic Statistics, 31(3), 282-299. · DOI 10.1080/07350015.2013.771027
Fungua mbinu kamili

Madai yaliyotunzwa

Madai yamehifadhiwa katika daftari la ushahidi, kila moja ikiwa na tathmini yake.

Hakuna madai yaliyotunzwa bado

Mwonekano huu haubuni tathmini ya dai wakati daftari haina yoyote.

Mbinu zinazohusiana

Zilizotengenezwa kutoka kwa grafu ya mbinu na kuonyeshwa kama uhusiano uliopendekezwa na mashine — hakuna dai la ushahidi linalodokezwa.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyCopula Modelsmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyExtreme Value Theorymachine-suggested · Relational suggestion, not evidence.Same method familyValue at Riskmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Vyanzo

2 nukuu zilizorekodiwa, ziliyonakiliwa kutoka kwa rekodi ya chanzo cha mbinu.

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Fungua ukurasa wa mbinu
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