方法证据记录
Panel EGARCH
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.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Panel Exponential Generalized Autoregressive Conditional Heteroscedasticity Model
分类方法记录 · regression-model / econometrics
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. · DOI 10.2307/2938260
- Tsay, R. S. (2010). Analysis of Financial Time Series (3rd ed.). Wiley. · ISBN 978-0470414354
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