Panel EGARCH — Exponential GARCH for Panel Data
Panel EGARCH udvider Nelsons (1991) Exponential GARCH-model til et panelsetting, hvilket tillader betinget varians at udvikle sig asymmetrisk over tid for hver tværsnitsenhed. Log-specifikationen sikrer ikke-negativ varians uden parameterbegrænsninger, og leverage-termen skelner, om negative chok forstørrer volatiliteten mere end positive chok af samme størrelse.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI: 10.2307/2938260 ↗
- Tsay, R. S. (2010). Analysis of Financial Time Series (3rd ed.). Wiley. ISBN: 978-0470414354
Sådan citerer du denne side
ScholarGate. (2026, June 3). Panel Exponential Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/da/econometrics/panel-egarch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- EGARCH-model (Eksponentiel GARCH)Økonometri↔ compare
- Panel DCC-GARCH-modelØkonometri↔ compare
- Panel GARCH-modelØkonometri↔ compare
- Panel TGARCH (Threshold GARCH for Panel Data)Økonometri↔ compare
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