مقایسهٔ روش‌ها

	مدل GARCH غیرخطی	مدل TGARCH (آستانه GARCH)
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1991-1993	1993-1994
پدیدآور	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
نوع	Volatility model	Asymmetric volatility model
منبع بنیادین	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.
نام‌های دیگر	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
مرتبط	6	6
خلاصه	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.