So sánh phương pháp

	Mô hình DCC-GARCH (Dynamic Conditional Correlation)	Exponential GARCH (EGARCH)	Lý thuyết Giá trị Cực biên (EVT)
Lĩnh vực	Tài chính	Kinh tế lượng	Tài chính
Họ	Regression model	Regression model	Regression model
Năm ra đời	2002	1991	2001
Người khởi xướng	Robert F. Engle	Nelson	Coles (textbook treatment); McNeil, Frey & Embrechts
Loại	Multivariate volatility model	Conditional volatility model (asymmetric GARCH variant)	Tail / extreme-event model
Công trình gốc	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598
Tên gọi khác	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold
Liên quan	5	4	5
Tóm tắt	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.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.	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.