Fourier GARCH-model
Fourier GARCH-modellen indlejrer trigonometriske Fourier-termer i en standard GARCH-ramme for at indfange glatte, gradvise skift i den betingede variansproces uden at kræve kendskab til præcise datoer for strukturelle brud. Ved at approksimere ukendte brudmønstre med sinusformede funktioner modellerer den simultant volatilitetsklustering og tidsvarierende ubetinget varians.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI: 10.1016/S0169-2070(00)00048-0 ↗
- 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 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier-Flexible Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/da/econometrics/fourier-garch-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- ARCH-model (Autoregressiv Betinget Heteroskedasticitet)Økonometri↔ compare
- DCC-GARCH-model (Dynamisk Betinget Korrelation)Økonometri↔ compare
- EGARCH-model (Eksponentiel GARCH)Økonometri↔ compare
- Fourier ARDL Bounds TestØkonometri↔ compare
- TGARCH-model (Threshold GARCH)Økonometri↔ compare
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