Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| EGARCH de Panell× | Model EGARCH (GARCH exponencial)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1991 (EGARCH); panel extensions widely used from 2000s | 1991 |
| Autor original≠ | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Daniel B. Nelson |
| Tipus≠ | Volatility model | Volatility / conditional variance model |
| Font seminal | 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 ↗ |
| Àlies | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Relacionats≠ | 4 | 6 |
| Resum≠ | 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. |
| ScholarGateConjunt de dades ↗ |
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