مقایسهٔ روشها
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| مدل فوریر گارچ (Fourier GARCH)× | مدل ARCH (ناهمسانگسیختگی شرطی خودرگرسیو)× | |
|---|---|---|
| حوزه | اقتصادسنجی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2000–2012 | 1982 |
| پدیدآور≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Robert F. Engle |
| نوع≠ | Volatility model | Conditional volatility model |
| منبع بنیادین≠ | 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 ↗ |
| نامهای دیگر | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| مرتبط≠ | 5 | 6 |
| خلاصه≠ | 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. |
| ScholarGateمجموعهداده ↗ |
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