Sammenlign metoder

	Robust TGARCH	ARCH-model (Autoregressiv Betinget Heteroskedasticitet)
Fagområde	Økonometri	Økonometri
Familie	Regression model	Regression model
Oprindelsesår	1994–2000s	1982
Ophavsperson	Zakoian (1994) for TGARCH; robust extensions developed through quasi-maximum likelihood and M-estimation literature	Robert F. Engle
Type	Volatility model with asymmetry and robust estimation	Conditional volatility model
Oprindelig kilde	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.
Aliasser	robust GJR-GARCH, robust threshold GARCH, heavy-tail TGARCH, outlier-robust TGARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Relaterede	6	6
Resumé	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 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.