Model Furijeovog tipa DCC-GARCH
Model Furijeovog tipa DCC-GARCH proširuje Engleov okvir DCC-GARCH (Dynamic Conditional Correlation GARCH) uvođenjem Furijeovih trigonometrijskih članova u jednačine uslovnog proseka ili varijanse. Ovo omogućava modelu da aproksimira glatke, postepene strukturne promene u dinamici volatilnosti i međusobnim korelacijama aktive, bez potrebe za poznavanjem broja ili vremena tačaka prekida.
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Izvori
- 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 ↗
Kako citirati ovu stranicu
ScholarGate. (2026, June 3). Fourier Dynamic Conditional Correlation GARCH Model. ScholarGate. https://scholargate.app/sr/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.
- DCC-GARCH model (dinamička uslovna korelacija)Ekonometrija↔ compare
- EGARCH model (eksponencijalni GARCH)Ekonometrija↔ compare
- Model Furije GARCHEkonometrija↔ compare
- GARCH model (predviđanje volatilnosti)Ekonometrija↔ compare
- Vektorska autoregresija (VAR)Ekonometrija↔ compare
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