Sammenlign metoder

	Fourier ARCH-modell	ARCH-modell (Autoregressive Conditional Heteroskedasticity)
Fagfelt	Økonometri	Økonometri
Familie	Regression model	Regression model
Opprinnelsesår	2010s	1982
Opphavsperson	Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012)	Robert F. Engle
Type	Volatility model with smooth structural change	Conditional volatility model
Opprinnelig kilde	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Alias	Fourier-ARCH, F-ARCH, ARCH with Fourier terms, Fourier smooth transition ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Relaterte	6	6
Sammendrag	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.