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| Панелен EGARCH× | Модел EGARCH (Експоненциален GARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1991 (EGARCH); panel extensions widely used from 2000s | 1991 |
| Създател≠ | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Daniel B. Nelson |
| Тип≠ | Volatility model | Volatility / conditional variance model |
| Основополагащ източник | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Други названия | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Свързани≠ | 4 | 6 |
| Резюме≠ | Panel EGARCH extends Nelson's (1991) Exponential GARCH model to a panel setting, allowing conditional variance to evolve asymmetrically over time for each cross-sectional unit. The log specification ensures non-negative variance without parameter constraints, and the leverage term distinguishes whether negative shocks amplify volatility more than positive ones of equal magnitude. | 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. |
| ScholarGateНабор от данни ↗ |
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