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| 비선형 TGARCH 모형× | EGARCH 모형 (Exponential GARCH)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1993–1994 | 1991 |
| 창시자≠ | Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle | Daniel B. Nelson |
| 유형≠ | Conditional heteroskedasticity model | Volatility / conditional variance model |
| 원전≠ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| 별칭 | NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| 관련≠ | 4 | 6 |
| 요약≠ | 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 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. |
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