Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Panel TGARCH (Threshold GARCH за панелни данни)× | Панелен EGARCH× | Модел с фиксирани ефекти за панелни данни× | |
|---|---|---|---|
| Област | Иконометрия | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model | Regression model |
| Година на възникване≠ | 1993–1994 (panel extension: 2000s onward) | 1991 (EGARCH); panel extensions widely used from 2000s | 2014 |
| Създател≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Hsiao (textbook treatment); within transformation of panel data |
| Тип≠ | Asymmetric conditional volatility model | Volatility model | Panel data regression |
| Основополагащ източник≠ | Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Други названия | Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Свързани≠ | 4 | 4 | 5 |
| Резюме≠ | Panel TGARCH extends the Threshold GARCH (GJR-GARCH) model to panel data, allowing each cross-sectional unit to exhibit asymmetric volatility responses — where negative shocks generate larger variance increases than positive shocks of the same magnitude — while exploiting the cross-sectional dimension to obtain more efficient parameter estimates. | 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 Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
| ScholarGateНабор от данни ↗ |
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