Võrdle meetodeid

	Aegmuutuvate parameetritega TGARCH-mudel	TGARCH-mudel (Threshold GARCH)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1990s–2000s	1993-1994
Looja	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tüüp	Volatility model with asymmetry and parameter evolution	Asymmetric volatility model
Algallikas	Zakoïan, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Rööpnimetused	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Seotud	4	6
Kokkuvõte	The TVP-TGARCH model extends Threshold GARCH by allowing its volatility parameters to evolve over time via a state-space representation. It captures both the leverage effect — that negative return shocks increase volatility more than positive ones — and structural change in that asymmetry, making it well-suited for long financial time series subject to regime shifts.	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.