Sammenlign metoder

	Ikke-lineær TGARCH-modell	EGARCH-modell (Exponential GARCH)
Fagfelt	Økonometri	Økonometri
Familie	Regression model	Regression model
Opprinnelsesår	1993–1994	1991
Opphavsperson	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Daniel B. Nelson
Type	Conditional heteroskedasticity model	Volatility / conditional variance model
Opprinnelig kilde	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.
Alias	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Relaterte	4	6
Sammendrag	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.