So sánh phương pháp

	BEKK-GARCH: Mô hình hóa Phương sai có Điều kiện Đa biến	Mô hình DCC-GARCH (Dynamic Conditional Correlation)
Lĩnh vực	Kinh tế lượng	Tài chính
Họ	Regression model	Regression model
Năm ra đời	1995	2002
Người khởi xướng	Robert Engle & Kenneth Kroner	Robert F. Engle
Loại	Multivariate conditional volatility model	Multivariate volatility model
Công trình gốc	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.
Tên gọi khác	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon
Liên quan	3	5
Tóm tắt	BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.	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.