השוואת שיטות

	מודל TGARCH עם פרמטרים משתנים בזמן	מודל TGARCH (Threshold GARCH)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1990s–2000s	1993-1994
הוגה השיטה	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
סוג	Volatility model with asymmetry and parameter evolution	Asymmetric volatility model
מקור מכונן	Zakoïan, 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.
כינויים	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
קשורות	4	6
תקציר	The TVP-TGARCH model extends Threshold GARCH by allowing its volatility parameters to evolve over time via a state-space representation. It captures both the leverage effect — that negative return shocks increase volatility more than positive ones — and structural change in that asymmetry, making it well-suited for long financial time series subject to regime shifts.	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.