Comparer des méthodes

	Modèle EGARCH à rupture structurelle	Modèle TGARCH (Threshold GARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990–1991	1993-1994
Auteur d'origine	Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Type	Volatility model with structural breaks	Asymmetric volatility model
Source fondatrice	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Alias	SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Apparentées	5	6
Résumé	Structural Break EGARCH combines Nelson's Exponential GARCH framework with explicit allowance for one or more structural breaks in the volatility process. By letting the intercept and persistence parameters of the log-variance equation shift at detected break dates, the model avoids the spurious long-memory and inflated persistence that standard EGARCH suffers when the data contain regime changes.	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.