Sammenlign metoder

	Robust TGARCH	EGARCH-model (Eksponentiel GARCH)
Fagområde	Økonometri	Økonometri
Familie	Regression model	Regression model
Oprindelsesår	1994–2000s	1991
Ophavsperson	Zakoian (1994) for TGARCH; robust extensions developed through quasi-maximum likelihood and M-estimation literature	Daniel B. Nelson
Type	Volatility model with asymmetry and robust estimation	Volatility / conditional variance model
Oprindelig kilde	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.
Aliasser	robust GJR-GARCH, robust threshold GARCH, heavy-tail TGARCH, outlier-robust TGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
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 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.