Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модел Фурие TGARCH× | Модел на Фурие-GARCH× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1994 / 2012 | 2000–2012 |
| Създател≠ | Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework |
| Тип≠ | Volatility model with asymmetric leverage and Fourier smooth breaks | Volatility model |
| Основополагащ източник≠ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ |
| Други названия | Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH |
| Свързани | 5 | 5 |
| Резюме≠ | The Fourier TGARCH model extends the Threshold GARCH framework by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual structural breaks in volatility dynamics. It jointly models asymmetric leverage effects — where negative shocks amplify volatility more than positive shocks of the same magnitude — and time-varying intercept shifts caused by unobserved structural change. | 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. |
| ScholarGateНабор от данни ↗ |
|
|