Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Панельний TGARCH (пороговий GARCH для панельних даних)× | DCC-GARCH (Dynamic Conditional Correlation)× | GJR-GARCH (Асиметричний GARCH)× | |
|---|---|---|---|
| Галузь≠ | Економетрика | Фінанси | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 1993–1994 (panel extension: 2000s onward) | 2002 | 1993 |
| Автор методу≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature | Robert F. Engle | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) |
| Тип≠ | Asymmetric conditional volatility model | Multivariate volatility model | Asymmetric conditional volatility model |
| Основоположне джерело≠ | 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. DOI ↗ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | 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. The Journal of Finance, 48(5), 1779-1801. DOI ↗ |
| Інші назви | Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) |
| Пов'язані≠ | 4 | 5 | 5 |
| Підсумок≠ | 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. | DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step. | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). |
| ScholarGateНабір даних ↗ |
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