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| Panel EGARCH× | Model Panel GARCH× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1991 (EGARCH); panel extensions widely used from 2000s | 1986 (GARCH); panel extension 1990s–2000s |
| Twórca≠ | Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature | Bollerslev (1986); extended to panel settings in subsequent literature |
| Typ | Volatility model | Volatility model |
| Źródło pierwotne≠ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Inne nazwy | Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model |
| Pokrewne≠ | 4 | 6 |
| Podsumowanie≠ | 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 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. |
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