Salīdzināt metodes

	Modelis "Fourier TGARCH"	Furjē EGARCH: Volatilitātes modelēšana ar gludām strukturālām pārmaiņām
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Regression model
Izcelsmes gads	1994 / 2012	2010s
Autors	Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework	Extension of Nelson (1991) EGARCH using Fourier approximation frameworks
Tips	Volatility model with asymmetric leverage and Fourier smooth breaks	Volatility model with smooth structural breaks
Pirmavots	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
Citi nosaukumi	Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH	Fourier-EGARCH, F-EGARCH, Fourier exponential GARCH, smooth structural break EGARCH
Saistītās	5	3
Kopsavilkums	The Fourier TGARCH model extends the Threshold GARCH framework by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual structural breaks in volatility dynamics. It jointly models asymmetric leverage effects — where negative shocks amplify volatility more than positive shocks of the same magnitude — and time-varying intercept shifts caused by unobserved structural change.	Fourier EGARCH extends Nelson's (1991) Exponential GARCH model by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual shifts in the unconditional variance level over time. This allows the model to handle structural breaks in volatility without requiring prior knowledge of their timing or number.