Sammenlign metoder

	Strukturell brudd TGARCH (Threshold GARCH med strukturelle brudd)	TGARCH-modell (Threshold GARCH)
Fagfelt	Økonometri	Økonometri
Familie	Regression model	Regression model
Opprinnelsesår	1990-1993	1993-1994
Opphavsperson	Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Type	Volatility model	Asymmetric volatility model
Opprinnelig kilde	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.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Alias	SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Relaterte	3	6
Sammendrag	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.