เปรียบเทียบวิธี

	แบบจำลอง Fourier GARCH	แบบจำลอง EGARCH (Exponential GARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2000–2012	1991
ผู้ริเริ่ม	Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework	Daniel B. Nelson
ประเภท	Volatility model	Volatility / conditional variance model
แหล่งต้นตำรับ	Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
ชื่อเรียกอื่น	Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
ที่เกี่ยวข้อง	5	6
สรุป	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 Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.