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| Модел Фурие DCC-GARCH× | Модел EGARCH (Експоненциален GARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2002 (DCC-GARCH); Fourier extension applied from mid-2010s onward | 1991 |
| Създател≠ | Engle (2002) for DCC-GARCH; Fourier extension by Gallant (1981) and later applied in financial econometrics | Daniel B. Nelson |
| Тип≠ | Multivariate volatility model with smooth structural breaks | Volatility / conditional variance model |
| Основополагащ източник≠ | Engle, R. (2002). Dynamic conditional correlations: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. link ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Други названия | Fourier DCC-GARCH, Fourier-augmented DCC-GARCH, DCC-GARCH with Fourier terms, smooth structural break DCC-GARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Свързани≠ | 5 | 6 |
| Резюме≠ | The Fourier DCC-GARCH model extends Engle's Dynamic Conditional Correlation GARCH framework by embedding Fourier trigonometric terms in the conditional mean or variance equations. This allows the model to approximate smooth, gradual structural shifts in volatility dynamics and inter-asset correlations without requiring knowledge of the number or timing of break points. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
| ScholarGateНабор от данни ↗ |
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