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)× | 时间变系数自回归条件异方差模型 (TVP-ARCH)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2010s | 1980s–1990s |
| 提出者≠ | Extends Engle (1982) ARCH framework with Fourier terms following Enders & Lee (2012) | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature |
| 类型≠ | Volatility model with smooth structural change | Conditional heteroscedasticity model with time-varying coefficients |
| 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 | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space 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 Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime. |
| ScholarGate数据集 ↗ |
|
|