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| Progowy i gładko-przejściowy VAR (TVAR / STVAR)× | Wykładniczy GARCH (EGARCH)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1998 | 1991 |
| Twórca≠ | Tsay (multivariate threshold modelling) | Nelson |
| Typ≠ | Nonlinear multivariate time-series model | Conditional volatility model (asymmetric GARCH variant) |
| Źródło pierwotne≠ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Inne nazwy≠ | TVAR, STVAR, regime-switching VAR, threshold VAR | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Pokrewne≠ | 5 | 4 |
| Podsumowanie≠ | Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
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