Model Fourier DCC-GARCH
Model Fourier DCC-GARCH memperluas kerangka kerja GARCH Korelasi Bersyarat Dinamik (DCC) Engle dengan menyematkan istilah trigonometri Fourier dalam persamaan min atau varians bersyarat. Ini membolehkan model tersebut menghampiri anjakan struktur yang lancar dan beransur-ansur dalam dinamik volatiliti dan korelasi antara aset tanpa memerlukan pengetahuan tentang bilangan atau masa titik perubahan.
Baca kaedah sepenuhnya
Log masuk dengan akaun percuma untuk membaca bahagian ini.
Method map
The neighbourhood of related methods — select a node to explore.
Sumber
- 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. link ↗
- Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. DOI: 10.1016/j.eneco.2016.09.009 ↗
Cara memetik halaman ini
ScholarGate. (2026, June 3). Fourier Dynamic Conditional Correlation GARCH Model. ScholarGate. https://scholargate.app/ms/econometrics/fourier-dcc-garch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Model DCC-GARCH (Dynamic Conditional Correlation)Ekonometrik↔ compare
- Model EGARCH (Exponential GARCH)Ekonometrik↔ compare
- Model GARCH FourierEkonometrik↔ compare
- Model GARCH (Peramalan Volatiliti)Ekonometrik↔ compare
- Autoregresi Vektor (VAR)Ekonometrik↔ compare
Terjumpa masalah pada halaman ini? Laporkan atau cadangkan pembetulan →