Порівняння методів

	Модель ARIMA (Авторегресійна інтегрована ковзна середня)	Модель DCC-GARCH (динамічна умовна кореляція)	Модель EGARCH (Експоненційна GARCH)
Галузь	Економетрика	Економетрика	Економетрика
Родина	Regression model	Regression model	Regression model
Рік появи	1970	2002	1991
Автор методу	George Box and Gwilym Jenkins	Robert F. Engle	Daniel B. Nelson
Тип	Time series forecasting model	Multivariate volatility model	Volatility / conditional variance model
Основоположне джерело	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Інші назви	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Пов'язані	6	5	6
Підсумок	The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.	The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.	The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.