Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Panel EGARCH× | Model panelových dat s fixními efekty× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1991 (EGARCH); panel extensions widely used from 2000s | 2014 |
| Tvůrce≠ | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Hsiao (textbook treatment); within transformation of panel data |
| Typ≠ | Volatility model | Panel data regression |
| Původní zdroj≠ | 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 ↗ |
| Další názvy | 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 |
| Příbuzné≠ | 4 | 5 |
| 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 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). |
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