เปรียบเทียบวิธี

	แบบจำลอง Panel DCC-GARCH	แบบจำลองการถดถอยอัตโนมัติแบบเวกเตอร์ (VAR)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2002	1980
ผู้ริเริ่ม	Robert F. Engle	Christopher A. Sims
ประเภท	Multivariate volatility model	Multivariate time-series model
แหล่งต้นตำรับ	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
ชื่อเรียกอื่น	DCC-GARCH panel, panel dynamic conditional correlation, multivariate DCC-GARCH, Panel DCC	VAR, VAR model, vector autoregressive model, multivariate autoregression
ที่เกี่ยวข้อง	5	5
สรุป	The Panel DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation GARCH framework to panel data settings, jointly modelling time-varying volatility and cross-sectional correlations across multiple units (countries, firms, or assets) over time. It allows pairwise correlations to vary dynamically in response to market shocks while preserving parsimony via a two-step estimation.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.