Mfumo wa Fourier TGARCH
Mfumo wa Fourier TGARCH unapanua mfumo wa Threshold GARCH kwa kuweka vigezo vya trigonometria vya Fourier katika mlinganyo wa tofauti ya masharti ili kunasa mabadiliko laini, ya taratibu ya kimuundo katika mienendo ya tete. Unaunda kwa pamoja athari za kujiinua zisizolingana — ambapo mishtuko hasi huongeza tete zaidi kuliko mishtuko chanya ya ukubwa sawa — na mabadiliko ya kukatiza yanayobadilika kulingana na wakati yanayosababishwa na mabadiliko ya kimuundo yasiyoonekana.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI: 10.1016/0165-1889(94)90039-6 ↗
- 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: 10.1111/j.1468-0084.2011.00662.x ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 3). Fourier Threshold Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/sw/econometrics/fourier-tgarch
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.
- Mchambuko wa DCC-GARCH (Dynamic Conditional Correlation)Ekonometriki↔ compare
- Modeli ya EGARCH (Exponential GARCH)Ekonometriki↔ compare
- Fourier EGARCH: Uundaji wa Volatiliti kwa Mapumziko Laini ya KimuundoEkonometriki↔ compare
- Mfumo wa GARCH wa FourierEkonometriki↔ compare
- Modeli ya TGARCH (Threshold GARCH)Ekonometriki↔ compare
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