Panel TGARCH (Threshold GARCH for Panel Data)
Panel TGARCH udvider Threshold GARCH (GJR-GARCH) modellen til paneldata, hvilket tillader hver tværsnitsenhed at udvise asymmetriske volatilitetsresponser — hvor negative chok genererer større variansstigninger end positive chok af samme størrelse — samtidig med at den udnytter tværsnitsdimensionen til at opnå mere effektive parameterskøn.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗
- Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955. DOI: 10.1016/0165-1889(94)90039-6 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Panel Threshold Generalized Autoregressive Conditional Heteroscedasticity. ScholarGate. https://scholargate.app/da/econometrics/panel-tgarch
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.
- DCC-GARCH (Dynamic Conditional Correlation)Finansiering↔ compare
- GJR-GARCH (Asymmetrisk GARCH)Økonometri↔ compare
- Panel EGARCHØkonometri↔ compare
- Panel Data Fixed Effects ModelØkonometri↔ compare
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