Regression modelEconometrics / time series

面板TGARCH（面板数据阈值GARCH模型）

面板TGARCH模型将阈值GARCH（GJR-GARCH）模型扩展到面板数据，允许每个横截面单元表现出不对称的波动率响应——负冲击比同等大小的正冲击产生更大的方差增加——同时利用横截面维度获得更有效的参数估计。

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面板TGARCH（面板数据阈值GARCH模型）

来源

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: 10.1111/j.1540-6261.1993.tb05128.x ↗
Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955. DOI: 10.1016/0165-1889(94)90039-6 ↗

如何引用本页

ScholarGate. (2026, June 3). Panel Threshold Generalized Autoregressive Conditional Heteroscedasticity. ScholarGate. https://scholargate.app/zh/econometrics/panel-tgarch

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被引用于

面板DCC-GARCH模型 Panel EGARCH

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