Comparer des méthodes

	Modèle DCC-GARCH de Fourier	Modèle GARCH (Prévision de la volatilité)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2002 (DCC-GARCH); Fourier extension applied from mid-2010s onward	1986
Auteur d'origine	Engle (2002) for DCC-GARCH; Fourier extension by Gallant (1981) and later applied in financial econometrics	Tim Bollerslev
Type	Multivariate volatility model with smooth structural breaks	Conditional volatility model
Source fondatrice	Engle, R. (2002). Dynamic conditional correlations: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alias	Fourier DCC-GARCH, Fourier-augmented DCC-GARCH, DCC-GARCH with Fourier terms, smooth structural break DCC-GARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Apparentées	5	5
Résumé	The Fourier DCC-GARCH model extends Engle's Dynamic Conditional Correlation GARCH framework by embedding Fourier trigonometric terms in the conditional mean or variance equations. This allows the model to approximate smooth, gradual structural shifts in volatility dynamics and inter-asset correlations without requiring knowledge of the number or timing of break points.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.