قارن الطرق

	نموذج GARCH (التنبؤ بالتقلب)	نموذج TGARCH (الانحدار الذاتي الشرطي غير المتجانس ذو العتبة)
المجال	الاقتصاد القياسي	الاقتصاد القياسي
العائلة	Regression model	Regression model
سنة النشأة	1986	1993-1994
صاحب الطريقة	Tim Bollerslev	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
النوع	Conditional volatility model	Asymmetric volatility model
المصدر التأسيسي	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
الأسماء البديلة	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
ذات صلة	5	6
الملخص	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.	The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative.