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| Panel GARCH モデル× | EGARCHモデル（指数型GARCH）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1986 (GARCH); panel extension 1990s–2000s | 1991 |
| 提唱者≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Daniel B. Nelson |
| 種類≠ | Volatility model | Volatility / conditional variance model |
| 原典≠ | 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 ↗ |
| 別名 | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| 関連 | 6 | 6 |
| 概要≠ | 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. |
| ScholarGateデータセット ↗ |
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