Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель Фур'є-GARCH× | Модель EGARCH (Експоненційна GARCH)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2000–2012 | 1991 |
| Автор методу≠ | Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework | Daniel B. Nelson |
| Тип≠ | Volatility model | Volatility / conditional variance model |
| Основоположне джерело≠ | Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Інші назви | Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Пов'язані≠ | 5 | 6 |
| Підсумок≠ | 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. |
| ScholarGateНабір даних ↗ |
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