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)× | टाइम-वेरिंग पैरामीटर एआरसीएच मॉडल (TVP-ARCH)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2010s | 1980s–1990s |
| प्रवर्तक≠ | Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012) | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature |
| प्रकार≠ | Volatility model with smooth structural change | Conditional heteroscedasticity model with time-varying coefficients |
| 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 | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH |
| संबंधित≠ | 6 | 5 |
| 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 Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime. |
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