Porovnat metody

	Fourier EGARCH: Modelování volatility s hladkými strukturálními změnami	Exponential GARCH (EGARCH)	GJR-GARCH (Asymetrický GARCH)
Obor	Ekonometrie	Ekonometrie	Ekonometrie
Rodina	Regression model	Regression model	Regression model
Rok vzniku	2010s	1991	1993
Tvůrce	Extension of Nelson (1991) EGARCH using Fourier approximation frameworks	Nelson	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)
Typ	Volatility model with smooth structural breaks	Conditional volatility model (asymmetric GARCH variant)	Asymmetric conditional volatility model
Původní zdroj	Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.
Další názvy	Fourier-EGARCH, F-EGARCH, Fourier exponential GARCH, smooth structural break EGARCH	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)
Příbuzné	3	4	5
Shrnutí	Fourier EGARCH extends Nelson's (1991) Exponential GARCH model by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual shifts in the unconditional variance level over time. This allows the model to handle structural breaks in volatility without requiring prior knowledge of their timing or number.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).