Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модел на Фурие-GARCH× | Модел ARCH (Авторегресивен условен хетероскедастичност)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2000–2012 | 1982 |
| Създател≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Robert F. Engle |
| Тип≠ | Volatility model | Conditional volatility model |
| Основополагащ източник≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| Други названия | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| Свързани≠ | 5 | 6 |
| Резюме≠ | The Fourier GARCH model embeds trigonometric Fourier terms into a standard GARCH framework to capture smooth, gradual shifts in the conditional variance process without requiring knowledge of exact structural break dates. By approximating unknown break patterns with sinusoidal functions, it jointly models volatility clustering and time-varying unconditional variance. | The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. |
| ScholarGateНабор от данни ↗ |
|
|