Regression model
DCC-GARCH（动态条件相关性）
DCC-GARCH 是 Engle (2002) 提出的多元波动率模型，它允许多个资产之间的相关性随时间变化。该模型为每个序列拟合一个单独的单变量 GARCH 模型，然后在第二个独立的步骤中估计动态相关矩阵。
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Method map
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来源
- Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI: 10.1198/073500102288618487 ↗
- Aielli, G. P. (2013). Dynamic Conditional Correlation: On Properties and Estimation. Journal of Business & Economic Statistics, 31(3), 282-299. DOI: 10.1080/07350015.2013.771027 ↗
如何引用本页
ScholarGate. (2026, June 1). Dynamic Conditional Correlation GARCH. ScholarGate. https://scholargate.app/zh/finance/dcc-garch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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