手法を比較

	TGARCHモデル（Threshold GARCH）	EGARCHモデル（指数型GARCH）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1993-1994	1991
提唱者	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)	Daniel B. Nelson
種類	Asymmetric 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.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
別名	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
関連	6	6
概要	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.	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.