方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 傅里叶自回归条件异方差模型 (Fourier ARCH Model)× | 结构性断点 ARCH 模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2010s | 1982–1990 |
| 提出者≠ | Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012) | Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence |
| 类型≠ | Volatility model with smooth structural change | Volatility model with regime change |
| 开创性文献 | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| 别名 | Fourier-ARCH, F-ARCH, ARCH with Fourier terms, Fourier smooth transition ARCH | ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH |
| 相关≠ | 6 | 5 |
| 摘要≠ | The Fourier ARCH model extends the classical ARCH framework by incorporating trigonometric (Fourier) terms into the conditional variance equation. This allows the model to capture smooth, gradual shifts in volatility dynamics over time without assuming abrupt structural breaks, making it well-suited for long financial or macroeconomic time series subject to slowly evolving regime changes. | The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit. |
| ScholarGate数据集 ↗ |
|
|