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| Μοντέλο Fourier GARCH× | Διαγνωστικός Έλεγχος Ορίων ARDL με όρους Fourier× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 2000–2012 | 2001-2021 |
| Δημιουργός≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Pesaran, Shin & Smith (ARDL foundation); Fourier extension by Nazlioglu and related authors |
| Τύπος≠ | Volatility model | Cointegration / bounds test |
| Θεμελιώδης πηγή≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Nazlioglu, S., Gormus, A., & Soytas, U. (2021). Oil prices and monetary policy in emerging markets: structural breaks, asymmetries, and Fourier approximations. Energy Economics, 95, 105119. link ↗ |
| Εναλλακτικές ονομασίες | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | Fourier ARDL, Fourier bounds testing, ARDL with Fourier approximation, F-ARDL cointegration test |
| Συναφείς | 5 | 5 |
| Σύνοψη≠ | 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. | The Fourier ARDL bounds test augments the Pesaran-Shin-Smith cointegration framework with trigonometric (Fourier) terms that capture gradual, smooth structural breaks in the data-generating process. It tests for a long-run level relationship between variables without requiring the researcher to specify the number, timing, or form of structural breaks in advance. |
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