পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| প্যানেল GARCH মডেল× | থ্রেশহোল্ড GARCH (TGARCH) মডেল× | |
|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 1986 (GARCH); panel extension 1990s–2000s | 1993-1994 |
| প্রবর্তক≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) |
| ধরন≠ | Volatility model | Asymmetric volatility model |
| মৌলিক উৎস≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| অপর নাম | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH |
| সম্পর্কিত | 6 | 6 |
| সারসংক্ষেপ≠ | The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels. | The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative. |
| ScholarGateডেটাসেট ↗ |
|
|