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Fourier ARCH Model

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.

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Fourier Autoregressive Conditional Heteroscedasticity Model

Taksonomisk metoderegister · regression-model / econometrics

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