Comparar métodos

	Modelo GARCH de Fourier	Modelo ARCH (Autoregressive Conditional Heteroskedasticity)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	2000–2012	1982
Autor original	Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework	Robert F. Engle
Tipo	Volatility model	Conditional volatility model
Fonte seminal	Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Outros nomes	Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Relacionados	5	6
Resumo	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 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.