השוואת שיטות

	מודל GARCH של פאנל	Autoregression Vector (VAR)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1986 (GARCH); panel extension 1990s–2000s	1980
הוגה השיטה	Bollerslev (1986); extended to panel settings in subsequent literature	Christopher A. Sims
סוג	Volatility model	Multivariate time-series model
מקור מכונן	Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
כינויים	panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model	VAR, VAR model, vector autoregressive model, multivariate autoregression
קשורות	6	5
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.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.