Compara mètodes

	Model TGARCH (Threshold GARCH)	Model ARIMA (Autoregressive Integrated Moving Average)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1993-1994	1970
Autor original	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)	George Box and Gwilym Jenkins
Tipus	Asymmetric volatility model	Time series forecasting model
Font seminal	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
Àlies	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)
Relacionats	6	6
Resum	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 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.