Confronta i metodi
Esamina i metodi selezionati fianco a fianco; le righe che differiscono sono evidenziate.
| TGARCH con Rottura Strutturale (Threshold GARCH con Rotture Strutturali)× | Modello TGARCH (Threshold GARCH)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1990-1993 | 1993-1994 |
| Ideatore≠ | Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry) | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) |
| Tipo≠ | Volatility model | Asymmetric volatility model |
| Fonte seminale≠ | Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| Alias | SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH |
| Correlati≠ | 3 | 6 |
| Sintesi≠ | Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data. | 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. |
| ScholarGateInsieme di dati ↗ |
|
|