Compara mètodes

	TGARCH Robusta	Model EGARCH (GARCH exponencial)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1994–2000s	1991
Autor original	Zakoian (1994) for TGARCH; robust extensions developed through quasi-maximum likelihood and M-estimation literature	Daniel B. Nelson
Tipus	Volatility model with asymmetry and robust estimation	Volatility / conditional variance model
Font seminal	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.
Àlies	robust GJR-GARCH, robust threshold GARCH, heavy-tail TGARCH, outlier-robust TGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Relacionats	6	6
Resum	Robust TGARCH extends the Threshold GARCH model by replacing the conventional maximum likelihood objective with an estimator that is resistant to heavy-tailed innovations and outlying observations. It captures asymmetric volatility responses — where negative shocks amplify variance more than positive shocks — while remaining reliable when the return distribution deviates strongly from normality.	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.