পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| ফুরিয়ার GARCH মডেল× | থ্রেশহোল্ড GARCH (TGARCH) মডেল× | |
|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 2000–2012 | 1993-1994 |
| প্রবর্তক≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) |
| ধরন≠ | Volatility model | Asymmetric volatility model |
| মৌলিক উৎস≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| অপর নাম | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH |
| সম্পর্কিত≠ | 5 | 6 |
| সারসংক্ষেপ≠ | 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 Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative. |
| ScholarGateডেটাসেট ↗ |
|
|