DCC-MVGARCH

DCC-MVGARCH是一种多元动态条件相关(Dynamic Conditional Correlation)模型，用于进行多变量波动率预测。该模型结合了条件方差模型(MVGARCH)和动态相关模型(DCC)，旨在对不同资产之间的波动率和相关性进行建模和预测。在DCC-MVGARCH模型中，使用样本相关矩阵来构建恒定条件相关(CCC)的协方差矩阵，而使用基于移动窗口估计的相关矩阵来构建动态条件相关(DCC)的协方差矩阵。DCC-MVGARCH模型的预测结果对于跨资产投资组合的构建具有重要影响，因为它能够捕捉到不同资产之间的波动率和相关性的变化。<span class="em">1</span><span class="em">2</span><span class="em">3</span>
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