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Nonlinear DCC-GARCH model/Ushahidi
Rekodi ya ushahidi wa mbinu

Nonlinear DCC-GARCH model

The Nonlinear DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation framework by allowing correlations to respond asymmetrically to negative versus positive return shocks. Proposed by Cappiello, Engle, and Sheppard (2006), it is the standard tool for measuring time-varying co-movement and contagion effects in multivariate financial time series when bad news is expected to increase correlations more than good news.

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Rekodi ya chanzo

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

Nonlinear Dynamic Conditional Correlation GARCH Model
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537–572. · DOI 10.1093/jjfinec/nbl005
  • Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. · DOI 10.1198/073500102288618487
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Taxonomic bucketDCC-GARCH modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketEGARCH modelmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

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

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