Porównaj metody
Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| GJR-GARCH (Asymetryczny GARCH)× | Panel EGARCH× | Model efektów stałych dla danych panelowych× | |
|---|---|---|---|
| Dziedzina | Ekonometria | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model | Regression model |
| Rok powstania≠ | 1993 | 1991 (EGARCH); panel extensions widely used from 2000s | 2014 |
| Twórca≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Hsiao (textbook treatment); within transformation of panel data |
| Typ≠ | Asymmetric conditional volatility model | Volatility model | Panel data regression |
| Źródło pierwotne≠ | 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. The 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 ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Inne nazwy | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Pokrewne≠ | 5 | 4 | 5 |
| Podsumowanie≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | 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. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
| ScholarGateZbiór danych ↗ |
|
|
|