Σύγκριση μεθόδων

	Επεκτεταμένο Μοντέλο EGARCH με Ανθεκτικότητα	Μοντέλο TGARCH (Threshold GARCH)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	2008	1993-1994
Δημιουργός	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Τύπος	Robust volatility model	Asymmetric volatility model
Θεμελιώδης πηγή	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Εναλλακτικές ονομασίες	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Συναφείς	6	6
Σύνοψη	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.