Comparer des méthodes

	Modèle GARCH de Panel	Modèle EGARCH (GARCH exponentiel)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1986 (GARCH); panel extension 1990s–2000s	1991
Auteur d'origine	Bollerslev (1986); extended to panel settings in subsequent literature	Daniel B. Nelson
Type	Volatility model	Volatility / conditional variance model
Source fondatrice	Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Alias	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Apparentées	6	6
Résumé	The Panel GARCH model extends Bollerslev's (1986) Generalized Autoregressive Conditional Heteroscedasticity framework to panel data, allowing conditional variance to evolve over time for each cross-sectional unit. It simultaneously captures unit-level heterogeneity and time-varying volatility clustering, making it the standard tool for modelling risk and uncertainty in multi-entity financial and macroeconomic panels.	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.