Módszerek összehasonlítása

	Nonlineáris TGARCH modell	GARCH modell (volatilitás-előrejelzés)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1993–1994	1986
Megalkotó	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Tim Bollerslev
Típus	Conditional heteroskedasticity model	Conditional volatility model
Alapmű	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alternatív nevek	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Kapcsolódó	4	5
Összefoglaló	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 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.