Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo GARCH de Fourier× | Modelo ARCH (Heterocedasticidad Autoregresiva Condicional)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2000–2012 | 1982 |
| Autor original≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Robert F. Engle |
| Tipo≠ | Volatility model | Conditional volatility model |
| Fuente seminal≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| Alias | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| Relacionados≠ | 5 | 6 |
| Resumen≠ | 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 ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. |
| ScholarGateConjunto de datos ↗ |
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