方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| DCC-GARCH（动态条件相关性）× | 指数 GARCH (EGARCH)× | |
|---|---|---|
| 领域≠ | 金融学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2002 | 1991 |
| 提出者≠ | Robert F. Engle | Nelson |
| 类型≠ | Multivariate volatility model | Conditional volatility model (asymmetric GARCH variant) |
| 开创性文献≠ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| 别名 | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| 相关≠ | 5 | 4 |
| 摘要≠ | 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. |
| ScholarGate数据集 ↗ |
|
|