Comparar métodos

	EGARCH em Painel	TGARCH de Painel (Threshold GARCH para Dados em Painel)
Área	Econometria	Econometria
Família	Regression model	Regression model
Ano de origem	1991 (EGARCH); panel extensions widely used from 2000s	1993–1994 (panel extension: 2000s onward)
Autor original	Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature	Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature
Tipo	Volatility model	Asymmetric conditional volatility model
Fonte seminal	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	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.
Outros nomes	Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH	Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model
Relacionados	4	4
Resumo	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.	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.