Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Panel EGARCH× | Model EGARCH (Exponenciální GARCH)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1991 (EGARCH); panel extensions widely used from 2000s | 1991 |
| Tvůrce≠ | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Daniel B. Nelson |
| Typ≠ | Volatility model | Volatility / conditional variance model |
| Původní zdroj | 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 ↗ |
| Další názvy | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Příbuzné≠ | 4 | 6 |
| Shrnutí≠ | 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. |
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