विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| फूरियर ए.आर.सी.एच. मॉडल (Fourier ARCH Model)× | ARCH मॉडल (ऑटोरिग्रेसिव कंडीशनल हेटेरोस्केडैस्टिसिटी)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2010s | 1982 |
| प्रवर्तक≠ | Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012) | Robert F. Engle |
| प्रकार≠ | Volatility model with smooth structural change | Conditional volatility model |
| मौलिक स्रोत | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| उपनाम | Fourier-ARCH, F-ARCH, ARCH with Fourier terms, Fourier smooth transition ARCH | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| संबंधित | 6 | 6 |
| सारांश≠ | 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 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. |
| ScholarGateडेटासेट ↗ |
|
|