So sánh phương pháp

	Mô hình DCC-GARCH (Dynamic Conditional Correlation)	Exponential GARCH (EGARCH)	Làm mịn hàm mũ đơn và kép (SES / Holt)
Lĩnh vực	Tài chính	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model	Regression model
Năm ra đời	2002	1991	1957
Người khởi xướng	Robert F. Engle	Nelson	Robert G. Brown (SES); Charles C. Holt (linear trend)
Loại	Multivariate volatility model	Conditional volatility model (asymmetric GARCH variant)	Exponential smoothing forecasting 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.	Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill.
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	SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt)
Liên quan	5	4	3
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.	Exponential smoothing is a family of basic time-series forecasting models in which each new observation updates a smoothed estimate by a weighting parameter. Simple exponential smoothing (SES), introduced by Robert G. Brown in 1959, forecasts series with a stable level, while Holt's double exponential smoothing, introduced by Charles C. Holt in 1957, adds a trend term using the parameters alpha and beta.