เปรียบเทียบวิธี

	DCC-GARCH (Dynamic Conditional Correlation)	แบบจำลอง ARIMA (Autoregressive Integrated Moving Average)	ทฤษฎีค่าสุดขีด (Extreme Value Theory: EVT)
สาขาวิชา	การเงิน	เศรษฐมิติ	การเงิน
ตระกูล	Regression model	Regression model	Regression model
ปีกำเนิด	2002	2015	2001
ผู้ริเริ่ม	Robert F. Engle	Box & Jenkins (Box-Jenkins methodology)	Coles (textbook treatment); McNeil, Frey & Embrechts
ประเภท	Multivariate volatility model	Univariate time-series model	Tail / extreme-event model
แหล่งต้นตำรับ	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598
ชื่อเรียกอื่น	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold
ที่เกี่ยวข้อง	5	5	5
สรุป	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.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.