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	Modello TGARCH di Fourier	Modello TGARCH (Threshold GARCH)
Campo	Econometria	Econometria
Famiglia	Regression model	Regression model
Anno di origine	1994 / 2012	1993-1994
Ideatore	Zakoian (1994) for TGARCH; Enders and Lee (2012) for Fourier approximation framework	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tipo	Volatility model with asymmetric leverage and Fourier smooth breaks	Asymmetric volatility model
Fonte seminale	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.
Alias	Fourier TGARCH, Fourier Threshold GARCH, Fourier GJR-GARCH, smooth structural break TGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Correlati	5	6
Sintesi	The Fourier TGARCH model extends the Threshold GARCH framework by embedding Fourier trigonometric terms in the conditional variance equation to capture smooth, gradual structural breaks in volatility dynamics. It jointly models asymmetric leverage effects — where negative shocks amplify volatility more than positive shocks of the same magnitude — and time-varying intercept shifts caused by unobserved structural change.	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.