Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Fourier TGARCH-modell× | Fourier EGARCH: Modellering av volatilitet med jämna strukturella brott× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1994 / 2012 | 2010s |
| Upphovsperson≠ | Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework | Extension of Nelson (1991) EGARCH using Fourier approximation frameworks |
| Typ≠ | Volatility model with asymmetric leverage and Fourier smooth breaks | Volatility model with smooth structural breaks |
| Ursprungskälla≠ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ | Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599. DOI ↗ |
| Alias | Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH | Fourier-EGARCH, F-EGARCH, Fourier exponential GARCH, smooth structural break EGARCH |
| Närliggande≠ | 5 | 3 |
| Sammanfattning≠ | The Fourier TGARCH model extends the Threshold GARCH framework by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual structural breaks in volatility dynamics. It jointly models asymmetric leverage effects — where negative shocks amplify volatility more than positive shocks of the same magnitude — and time-varying intercept shifts caused by unobserved structural change. | Fourier EGARCH extends Nelson's (1991) Exponential GARCH model by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual shifts in the unconditional variance level over time. This allows the model to handle structural breaks in volatility without requiring prior knowledge of their timing or number. |
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