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Structural Break TGARCH/Evidence
Method evidence record

Structural Break TGARCH

Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Structural Break Threshold GARCH
Taxonomic method record · regression-model / econometrics
  • Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234. · DOI 10.1080/07350015.1990.10509794
  • 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. · DOI 10.1111/j.1540-6261.1993.tb05128.x
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketEGARCH modelmachine-suggested · Relational suggestion, not evidence.Same method familyGARCH Modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketTGARCH modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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