เปรียบเทียบวิธี

	การทดสอบความเป็นเหตุเป็นผลในความแปรปรวน	DCC-MIDAS
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1996	2013
ผู้ริเริ่ม	Yin-Wong Cheung and Lilian Ng	Engle, Ghysels, and Sohn
ประเภท	Conditional variance test	Time-varying correlation model
แหล่งต้นตำรับ	Cheung, Y. W., & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1-2), 33-61.	Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797.
ชื่อเรียกอื่น	Volatility spillover test	DCC mixed-frequency model
ที่เกี่ยวข้อง	3	3
สรุป	The causality-in-variance test detects whether shocks to one variable cause changes in the conditional variance (volatility) of another variable, distinct from mean-level causality. Introduced by Cheung and Ng (1996), it identifies volatility spillovers and contagion effects—crucial for risk management and understanding financial market interdependencies. This approach has become standard in studying shock transmission across asset classes and geographies.	DCC-MIDAS combines dynamic conditional correlation (DCC) GARCH with mixed-frequency data sampling (MIDAS), enabling estimation of time-varying correlations between variables when observations arrive at different frequencies. Introduced by Engle et al. (2013), it models how correlations evolve with low-frequency macroeconomic conditions using high-frequency asset price information. This is crucial for portfolio risk management and understanding macro-finance linkages.