Regression modelEconometrics / time series
傅里叶EGARCH：具有平滑结构性断裂的波动率建模
傅里叶EGARCH通过在条件方差方程中嵌入傅里叶三角项，扩展了Nelson（1991）的指数GARCH模型，以捕捉无条件方差水平随时间发生的平滑、渐进式变化。这使得模型能够在不预先知道结构性断裂发生时间或数量的情况下，处理波动率中的结构性断裂。
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来源
- 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 ↗
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260 ↗
如何引用本页
ScholarGate. (2026, June 3). Fourier Exponential Generalized Autoregressive Conditional Heteroscedasticity. ScholarGate. https://scholargate.app/zh/econometrics/fourier-egarch
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.
- 指数 GARCH (EGARCH)计量经济学↔ compare
- 广义自回归条件异方差模型 (GARCH)计量经济学↔ compare
- GJR-GARCH (不对称 GARCH)计量经济学↔ compare