পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| ফুরিয়ার টিজিএআরসিএইচ মডেল× | ডিসি-জিএআরসিএইচ মডেল (ডাইনামিক কন্ডিশনাল কোরিলেশন)× | |
|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 1994 / 2012 | 2002 |
| প্রবর্তক≠ | Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework | Robert F. Engle |
| ধরন≠ | Volatility model with asymmetric leverage and Fourier smooth breaks | Multivariate volatility model |
| মৌলিক উৎস≠ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ | Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. DOI ↗ |
| অপর নাম | Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH | DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC |
| সম্পর্কিত | 5 | 5 |
| সারসংক্ষেপ≠ | 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 DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series. |
| ScholarGateডেটাসেট ↗ |
|
|