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。
| パネルTGARCH（パネルデータ用閾値GARCH）× | DCC-GARCH（動的条件付き相関）× | |
|---|---|---|
| 分野≠ | 計量経済学 | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1993–1994 (panel extension: 2000s onward) | 2002 |
| 提唱者≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature | Robert F. Engle |
| 種類≠ | Asymmetric conditional volatility model | Multivariate volatility model |
| 原典≠ | Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801. DOI ↗ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ |
| 別名 | Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon |
| 関連≠ | 4 | 5 |
| 概要≠ | Panel TGARCH extends the Threshold GARCH (GJR-GARCH) model to panel data, allowing each cross-sectional unit to exhibit asymmetric volatility responses — where negative shocks generate larger variance increases than positive shocks of the same magnitude — while exploiting the cross-sectional dimension to obtain more efficient parameter estimates. | DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step. |
| ScholarGateデータセット ↗ |
|
|