방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 푸리에 GARCH 모형× | TGARCH 모형 (Threshold GARCH)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2000–2012 | 1993-1994 |
| 창시자≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) |
| 유형≠ | Volatility model | Asymmetric volatility model |
| 원전≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| 별칭 | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH |
| 관련≠ | 5 | 6 |
| 요약≠ | 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 Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative. |
| ScholarGate데이터셋 ↗ |
|
|