Comparar métodos

	VAR de Umbral y VAR de Transición Suave (TVAR / STVAR)	Prueba ARCH-LM para la Agrupación de Volatilidad	Exponential GARCH (EGARCH)
Campo	Econometría	Econometría	Econometría
Familia	Regression model	Regression model	Regression model
Año de origen	1998	1982	1991
Autor original	Tsay (multivariate threshold modelling)	Robert F. Engle	Nelson
Tipo	Nonlinear multivariate time-series model	Lagrange multiplier diagnostic test for conditional heteroscedasticity	Conditional volatility model (asymmetric GARCH variant)
Fuente seminal	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alias	TVAR, STVAR, regime-switching VAR, threshold VAR	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Relacionados	5	6	4
Resumen	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.