Construct · 1 fields · 1 citations

DCC-GARCH: a standalone construct

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Econometrics

a multivariate volatility model in which correlations between assets evolve over time through a simple GARCH-like recursion.

In econometrics, DCC-GARCH refers to a multivariate volatility model in which correlations between assets evolve over time through a simple GARCH-like recursion. This meaning comes from Engle (2002) in Journal of Business & Economic Statistics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

business1 fields · 1 citationsanchor · a standalone construct model3 fields · 3 citationsjingle · one word, three constructs recursion4 fields · 8 citationsjingle · one word, four self-referring constructs

References

Engle, R. (2002). Dynamic Conditional Correlation. Journal of Business & Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487

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