Vertaile menetelmiä

	Robust TGARCH	TGARCH-malli (Threshold GARCH)
Tieteenala	Ekonometria	Ekonometria
Menetelmäperhe	Regression model	Regression model
Syntyvuosi	1994–2000s	1993-1994
Kehittäjä	Zakoian (1994) for TGARCH; robust extensions developed through quasi-maximum likelihood and M-estimation literature	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tyyppi	Volatility model with asymmetry and robust estimation	Asymmetric volatility model
Alkuperäislähde	Zakoian, 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.
Rinnakkaisnimet	robust GJR-GARCH, robust threshold GARCH, heavy-tail TGARCH, outlier-robust TGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Liittyvät	6	6
Tiivistelmä	Robust TGARCH extends the Threshold GARCH model by replacing the conventional maximum likelihood objective with an estimator that is resistant to heavy-tailed innovations and outlying observations. It captures asymmetric volatility responses — where negative shocks amplify variance more than positive shocks — while remaining reliable when the return distribution deviates strongly from normality.	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.