手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| Panel GARCH モデル× | ベクトル自己回帰 (VAR)× | |
|---|---|---|
| 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 | 1980 |
| 提唱者≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Christopher A. Sims |
| 種類≠ | Volatility model | Multivariate time-series model |
| 原典≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| 別名 | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| 関連≠ | 6 | 5 |
| 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. | 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. |
| ScholarGateデータセット ↗ |
|
|