手法を比較

	非線形TGARCHモデル	ARCHモデル（Autoregressive Conditional Heteroskedasticity）	EGARCHモデル（指数型GARCH）
分野	計量経済学	計量経済学	計量経済学
系統	Regression model	Regression model	Regression model
提唱年	1993–1994	1982	1991
提唱者	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Robert F. Engle	Daniel B. Nelson
種類	Conditional heteroskedasticity model	Conditional volatility model	Volatility / conditional variance model
原典	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.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
別名	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
関連	4	6	6
概要	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 Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.