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	बेयसियन टीजीएआरसीएच (बेयसियन अनुमान के साथ थ्रेशोल्ड जीएआरसीएच)	थ्रेशोल्ड GARCH (TGARCH) मॉडल
क्षेत्र	अर्थमिति	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	1994 / 2008	1993-1994
प्रवर्तक	Zakoian (1994) for TGARCH; Bayesian estimation formalized by Ardia (2008)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
प्रकार	Volatility model with asymmetric threshold and Bayesian inference	Asymmetric volatility model
मौलिक स्रोत	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.
उपनाम	Bayesian TGARCH, Bayesian GJR-GARCH, Threshold GARCH with Bayesian estimation, TGARCH-B	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
संबंधित	6	6
सारांश	Bayesian TGARCH combines the Threshold GARCH volatility model — which captures the asymmetric response of volatility to positive versus negative shocks — with full Bayesian inference via Markov Chain Monte Carlo sampling. The result is a principled, uncertainty-aware framework for modeling leverage effects and fat-tailed financial returns.	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.