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	Uogólniona warunkowa heteroskedastyczność z autoregresją (GARCH)	GJR-GARCH (Asymetryczny GARCH)	TBATS
Dziedzina	Ekonometria	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model	Regression model
Rok powstania	1986	1993	2011
Twórca	Tim Bollerslev	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)	De Livera, Hyndman & Snyder
Typ	Conditional volatility model	Asymmetric conditional volatility model	Exponential smoothing state space model
Źródło pierwotne	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.	De Livera, A. M., Hyndman, R. J. & Snyder, R. D. (2011). Forecasting Time Series with Complex Seasonal Patterns Using Exponential Smoothing. Journal of the American Statistical Association, 106(496), 1513-1527.
Inne nazwy	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)	trigonometric exponential smoothing, multiple seasonal exponential smoothing, complex seasonal exponential smoothing, TBATS — Çoklu Mevsimsel Üstel Düzleştirme
Pokrewne	5	5	3
Podsumowanie	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).	TBATS is an innovations state space forecasting model, introduced by De Livera, Hyndman and Snyder (2011), that combines a Box-Cox transformation, ARMA errors and trigonometric (Fourier) seasonal terms. It is built to handle continuous time series with several nested seasonal cycles at once — for example hourly data that also repeats daily, weekly and yearly.