השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מודל GARCH של פאנל× | מודל EGARCH (Exponential GARCH)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1986 (GARCH); panel extension 1990s–2000s | 1991 |
| הוגה השיטה≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Daniel B. Nelson |
| סוג≠ | Volatility model | Volatility / conditional variance model |
| מקור מכונן≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| כינויים | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| קשורות | 6 | 6 |
| תקציר≠ | 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. |
| ScholarGateמערך נתונים ↗ |
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