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| Model Panel GARCH× | Model ARCH (Autoregresywna Heteroskedastyczność Warunkowa)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1986 (GARCH); panel extension 1990s–2000s | 1982 |
| Twórca≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Robert F. Engle |
| Typ≠ | Volatility model | Conditional volatility model |
| Źródło pierwotne≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| Inne nazwy | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| Pokrewne | 6 | 6 |
| Podsumowanie≠ | 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. | The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. |
| ScholarGateZbiór danych ↗ |
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