Comparer des méthodes

	VAR Seuil et VAR à Transition Lisse (TVAR / STVAR)	Exponential GARCH (EGARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1998	1991
Auteur d'origine	Tsay (multivariate threshold modelling)	Nelson
Type	Nonlinear multivariate time-series model	Conditional volatility model (asymmetric GARCH variant)
Source fondatrice	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	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	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Apparentées	5	4
Résumé	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.	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.