পদ্ধতির তুলনা করুন

	থ্রেশহোল্ড GARCH (TGARCH) মডেল	ইগার্চ মডেল (এক্সপোনেনশিয়াল GARCH)
ক্ষেত্র	অর্থমিতি	অর্থমিতি
পরিবার	Regression model	Regression model
উদ্ভবের বছর	1993-1994	1991
প্রবর্তক	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)	Daniel B. Nelson
ধরন	Asymmetric volatility model	Volatility / conditional variance model
মৌলিক উৎস	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
অপর নাম	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
সম্পর্কিত	6	6
সারসংক্ষেপ	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 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.