Comparer des méthodes

	VAR Seuil et VAR à Transition Lisse (TVAR / STVAR)	GJR-GARCH (GARCH asymétrique)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1998	1993
Auteur d'origine	Tsay (multivariate threshold modelling)	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)
Type	Nonlinear multivariate time-series model	Asymmetric conditional volatility model
Source fondatrice	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	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. The Journal of Finance, 48(5), 1779-1801.
Alias	TVAR, STVAR, regime-switching VAR, threshold VAR	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)
Apparentées	5	5
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.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).