مقایسهٔ روشها
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| مدل ARCH فوریه× | مدل آرک غیرخطی (NARCH)× | |
|---|---|---|
| حوزه | اقتصادسنجی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2010s | 1992 |
| پدیدآور≠ | Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012) | Higgins & Bera |
| نوع≠ | Volatility model with smooth structural change | Volatility model |
| منبع بنیادین≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Higgins, M. L., & Bera, A. K. (1992). A class of nonlinear ARCH models. International Economic Review, 33(1), 137-158. DOI ↗ |
| نامهای دیگر | Fourier-ARCH, F-ARCH, ARCH with Fourier terms, Fourier smooth transition ARCH | NARCH, Nonlinear ARCH, nonlinear conditional heteroscedasticity model, NARCH model |
| مرتبط≠ | 6 | 4 |
| خلاصه≠ | The Fourier ARCH model extends the classical ARCH framework by incorporating trigonometric (Fourier) terms into the conditional variance equation. This allows the model to capture smooth, gradual shifts in volatility dynamics over time without assuming abrupt structural breaks, making it well-suited for long financial or macroeconomic time series subject to slowly evolving regime changes. | The Nonlinear ARCH (NARCH) model, introduced by Higgins and Bera (1992), extends Engle's original ARCH framework by allowing the power transformation of volatility to be estimated from the data rather than fixed at two. This flexibility captures a broader class of volatility dynamics observed in financial and macroeconomic time series. |
| ScholarGateمجموعهداده ↗ |
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