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	समय-परिवर्ती पैरामीटर TGARCH मॉडल	थ्रेशोल्ड GARCH (TGARCH) मॉडल
क्षेत्र	अर्थमिति	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	1990s–2000s	1993-1994
प्रवर्तक	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
प्रकार	Volatility model with asymmetry and parameter evolution	Asymmetric volatility model
मौलिक स्रोत	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.
उपनाम	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
संबंधित	4	6
सारांश	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.