Sammenlign metoder
Gjennomgå de valgte metodene side om side; rader som avviker, er uthevet.
| Panel TGARCH (Threshold GARCH for Panel Data)× | Panel EGARCH× | |
|---|---|---|
| Fagfelt | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Opprinnelsesår≠ | 1993–1994 (panel extension: 2000s onward) | 1991 (EGARCH); panel extensions widely used from 2000s |
| Opphavsperson≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature |
| Type≠ | Asymmetric conditional volatility model | Volatility model |
| Opprinnelig kilde≠ | 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 ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Alias | Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH |
| Relaterte | 4 | 4 |
| Sammendrag≠ | 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. | 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. |
| ScholarGateDatasett ↗ |
|
|