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| Fourier EGARCH: Моделиране на волатилността с плавни структурни промени× | Експоненциален GARCH (EGARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2010s | 1991 |
| Създател≠ | Extension of Nelson (1991) EGARCH using Fourier approximation frameworks | Nelson |
| Тип≠ | Volatility model with smooth structural breaks | Conditional volatility model (asymmetric GARCH variant) |
| Основополагащ източник≠ | Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Други названия | Fourier-EGARCH, F-EGARCH, Fourier exponential GARCH, smooth structural break EGARCH | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Свързани≠ | 3 | 4 |
| Резюме≠ | Fourier EGARCH extends Nelson's (1991) Exponential GARCH model by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual shifts in the unconditional variance level over time. This allows the model to handle structural breaks in volatility without requiring prior knowledge of their timing or number. | 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. |
| ScholarGateНабор от данни ↗ |
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