Compară metode

	Modelul TGARCH neliniar	Model EGARCH (Exponential GARCH)
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	1993–1994	1991
Autorul original	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Daniel B. Nelson
Tip	Conditional heteroskedasticity model	Volatility / conditional variance model
Sursa seminală	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.
Denumiri alternative	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Înrudite	4	6
Rezumat	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.