So sánh phương pháp

	Generalized Autoregressive Conditional Heteroskedasticity (GARCH)	Mô hình DCC-GARCH (Dynamic Conditional Correlation)	Làm mịn hàm mũ đơn và kép (SES / Holt)
Lĩnh vực	Kinh tế lượng	Tài chính	Kinh tế lượng
Họ	Regression model	Regression model	Regression model
Năm ra đời	1986	2002	1957
Người khởi xướng	Tim Bollerslev	Robert F. Engle	Robert G. Brown (SES); Charles C. Holt (linear trend)
Loại	Conditional volatility model	Multivariate volatility model	Exponential smoothing forecasting model
Công trình gốc	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill.
Tên gọi khác	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt)
Liên quan	5	5	3
Tóm tắt	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	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.	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.