विधियों की तुलना करें

	Panel EGARCH	EGARCH मॉडल (घातीय GARCH)
क्षेत्र	अर्थमिति	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	1991 (EGARCH); panel extensions widely used from 2000s	1991
प्रवर्तक	Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature	Daniel B. Nelson
प्रकार	Volatility model	Volatility / conditional variance model
मौलिक स्रोत	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.
उपनाम	Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
संबंधित	4	6
सारांश	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.