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| GJR-GARCH (Ασύμμετρο GARCH)× | Μοντέλο Σταθερών Επιπτώσεων Δεδομένων Πάνελ× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1993 | 2014 |
| Δημιουργός≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Hsiao (textbook treatment); within transformation of panel data |
| Τύπος≠ | Asymmetric conditional volatility model | Panel data regression |
| Θεμελιώδης πηγή≠ | 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. The Journal of Finance, 48(5), 1779-1801. DOI ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Εναλλακτικές ονομασίες | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Συναφείς | 5 | 5 |
| Σύνοψη≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | 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). |
| ScholarGateΣύνολο δεδομένων ↗ |
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