Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Панельная модель GARCH× | Модель EGARCH (Экспоненциальная GARCH)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1986 (GARCH); panel extension 1990s–2000s | 1991 |
| Автор метода≠ | Bollerslev (1986); extended to panel settings in subsequent literature | Daniel B. Nelson |
| Тип≠ | Volatility model | Volatility / conditional variance model |
| Основополагающий источник≠ | Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Другие названия | panel GARCH, GARCH panel model, panel volatility model, panel conditional heteroscedasticity model | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Связанные | 6 | 6 |
| Сводка≠ | 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 Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
| ScholarGateНабор данных ↗ |
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