Regression modelEconometrics / time series

Fourier EGARCH: Volatility Modeling with Smooth Structural Breaks

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.

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Sources

  1. 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
  2. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260

Related methods

Referenced by

ScholarGateFourier EGARCH (Fourier Exponential Generalized Autoregressive Conditional Heteroscedasticity). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/fourier-egarch