Сравнение на методи

	Модел TGARCH (Threshold GARCH)	Модел ARCH (Авторегресивен условен хетероскедастичност)	Модел ARIMA (Авторегресионен интегриран плъзгащ се среден)	Модел EGARCH (Експоненциален GARCH)
Област	Иконометрия	Иконометрия	Иконометрия	Иконометрия
Семейство	Regression model	Regression model	Regression model	Regression model
Година на възникване	1993-1994	1982	1970	1991
Създател	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)	Robert F. Engle	George Box and Gwilym Jenkins	Daniel B. Nelson
Тип	Asymmetric volatility model	Conditional volatility model	Time series forecasting model	Volatility / conditional variance model
Основополагащ източник	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Други названия	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Свързани	6	6	6	6
Резюме	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.	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.	The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.