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| パネルDCC-GARCHモデル× | Panel EGARCH× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2002 | 1991 (EGARCH); panel extensions widely used from 2000s |
| 提唱者≠ | Robert F. Engle | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature |
| 種類≠ | Multivariate volatility model | Volatility model |
| 原典≠ | Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| 別名 | DCC-GARCH panel, panel dynamic conditional correlation, multivariate DCC-GARCH, Panel DCC | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH |
| 関連≠ | 5 | 4 |
| 概要≠ | The Panel DCC-GARCH model extends Engle's (2002) Dynamic Conditional Correlation GARCH framework to panel data settings, jointly modelling time-varying volatility and cross-sectional correlations across multiple units (countries, firms, or assets) over time. It allows pairwise correlations to vary dynamically in response to market shocks while preserving parsimony via a two-step estimation. | 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. |
| ScholarGateデータセット ↗ |
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