Сравнение методов

	Модель Фурье-ARCH	Модель ARCH (авторегрессионная условная гетероскедастичность)
Область	Эконометрика	Эконометрика
Семейство	Regression model	Regression model
Год появления	2010s	1982
Автор метода	Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012)	Robert F. Engle
Тип	Volatility model with smooth structural change	Conditional volatility model
Основополагающий источник	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.
Другие названия	Fourier-ARCH, F-ARCH, ARCH with Fourier terms, Fourier smooth transition ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Связанные	6	6
Сводка	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.