Σύγκριση μεθόδων

	Panel EGARCH	Μοντέλο EGARCH (Exponential GARCH)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1991 (EGARCH); panel extensions widely used from 2000s	1991
Δημιουργός	Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature	Daniel B. Nelson
Τύπος	Volatility model	Volatility / conditional variance model
Θεμελιώδης πηγή	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Εναλλακτικές ονομασίες	Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Συναφείς	4	6
Σύνοψη	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.