Usporedite metode

	Nelinearni TGARCH model	ARCH model (Autoregressive Conditional Heteroskedasticity)	TGARCH model (Threshold GARCH)
Područje	Ekonometrija	Ekonometrija	Ekonometrija
Obitelj	Regression model	Regression model	Regression model
Godina nastanka	1993–1994	1982	1993-1994
Tvorac	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Robert F. Engle	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Vrsta	Conditional heteroskedasticity model	Conditional volatility model	Asymmetric volatility model
Temeljni izvor	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Drugi nazivi	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Srodne	4	6	6
Sažetak	The Nonlinear TGARCH (Threshold GARCH) model extends the standard GARCH framework by allowing positive and negative shocks of equal magnitude to exert different effects on future volatility. It models conditional volatility in terms of the absolute value of lagged residuals split by a sign threshold, capturing the well-documented leverage effect in financial return series.	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.