Compara mètodes

	Model Fourier TGARCH	Model GARCH de Fourier
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1994 / 2012	2000–2012
Autor original	Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework	Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework
Tipus	Volatility model with asymmetric leverage and Fourier smooth breaks	Volatility model
Font seminal	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347.
Àlies	Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH	Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH
Relacionats	5	5
Resum	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.