Regression modelEconometrics / time series
面板GARCH模型
面板GARCH模型将Bollerslev (1986)的广义自回归条件异方差（GARCH）框架扩展到面板数据，允许每个截面单元的条件方差随时间演变。它同时捕捉单元层面的异质性和时变波动聚集，使其成为多实体金融和宏观经济面板中建模风险和不确定性的标准工具。
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来源
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI: 10.1016/0304-4076(86)90063-1 ↗
- Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006). Multivariate GARCH models: a survey. Journal of Applied Econometrics, 21(1), 79–109. DOI: 10.1002/jae.842 ↗
如何引用本页
ScholarGate. (2026, June 3). Panel Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/panel-garch-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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