পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| ফুরিয়ার ডিসি-সি-গার্চ মডেল× | ইগার্চ মডেল (এক্সপোনেনশিয়াল GARCH)× | |
|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 2002 (DCC-GARCH); Fourier extension applied from mid-2010s onward | 1991 |
| প্রবর্তক≠ | Engle (2002) for DCC-GARCH; Fourier extension by Gallant (1981) and later applied in financial econometrics | Daniel B. Nelson |
| ধরন≠ | Multivariate volatility model with smooth structural breaks | Volatility / conditional variance model |
| মৌলিক উৎস≠ | 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 ↗ |
| অপর নাম | Fourier DCC-GARCH, Fourier-augmented DCC-GARCH, DCC-GARCH with Fourier terms, smooth structural break DCC-GARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| সম্পর্কিত≠ | 5 | 6 |
| সারসংক্ষেপ≠ | 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. |
| ScholarGateডেটাসেট ↗ |
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