Fourier EGARCH: Volatilitetsmodellering med glidende strukturelle brud
Fourier EGARCH udvider Nelsons (1991) Exponential GARCH-model ved at indlejre Fourier trigonometriske led i ligningen for den betingede varians for at indfange glidende, gradvise skift i det ubetingede variansniveau over tid. Dette gør det muligt for modellen at håndtere strukturelle brud i volatilitet uden at kræve forudgående kendskab til deres timing eller antal.
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Kilder
- 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. DOI: 10.1111/j.1468-0084.2011.00662.x ↗
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier Exponential Generalized Autoregressive Conditional Heteroscedasticity. ScholarGate. https://scholargate.app/da/econometrics/fourier-egarch
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- Exponential GARCH (EGARCH)Økonometri↔ compare
- Generaliseret Autoregressiv Betinget Heteroskedasticitet (GARCH)Økonometri↔ compare
- GJR-GARCH (Asymmetrisk GARCH)Økonometri↔ compare
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