เปรียบเทียบวิธี

	DCC-GARCH (Dynamic Conditional Correlation)	แบบจำลอง Vector Autoregression (VAR)
สาขาวิชา	การเงิน	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2002	2005
ผู้ริเริ่ม	Robert F. Engle	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
ประเภท	Multivariate volatility model	Multivariate time-series model
แหล่งต้นตำรับ	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
ชื่อเรียกอื่น	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
ที่เกี่ยวข้อง	5	4
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.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).