Usporedite metode

	Bayesov TGARCH (Pragljeni GARCH s Bayesovom procjenom)	TGARCH model (Threshold GARCH)
Područje	Ekonometrija	Ekonometrija
Obitelj	Regression model	Regression model
Godina nastanka	1994 / 2008	1993-1994
Tvorac	Zakoian (1994) for TGARCH; Bayesian estimation formalized by Ardia (2008)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Vrsta	Volatility model with asymmetric threshold and Bayesian inference	Asymmetric volatility model
Temeljni izvor	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.
Drugi nazivi	Bayesian TGARCH, Bayesian GJR-GARCH, Threshold GARCH with Bayesian estimation, TGARCH-B	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Srodne	6	6
Sažetak	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.