Methoden vergleichen

	Nichtlineares GARCH-Modell	Das TGARCH-Modell (Threshold GARCH)
Fachgebiet	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model
Entstehungsjahr	1991-1993	1993-1994
Urheber	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Typ	Volatility model	Asymmetric volatility model
Wegweisende Quelle	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Aliasnamen	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Verwandt	6	6
Zusammenfassung	The Nonlinear GARCH model extends the standard GARCH framework to capture asymmetric and nonlinear responses of conditional volatility to past shocks. It allows negative returns (bad news) to amplify volatility more than positive returns of equal magnitude, a phenomenon known as the leverage effect, which is empirically pervasive in financial markets.	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.