เปรียบเทียบวิธี

	Panel EGARCH	แบบจำลอง EGARCH (Exponential GARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1991 (EGARCH); panel extensions widely used from 2000s	1991
ผู้ริเริ่ม	Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature	Daniel B. Nelson
ประเภท	Volatility model	Volatility / conditional variance model
แหล่งต้นตำรับ	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
ชื่อเรียกอื่น	Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
ที่เกี่ยวข้อง	4	6
สรุป	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 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.