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	Model TGARCH s časovo premennými parametrami	Model EGARCH (Exponenciálny GARCH)
Odbor	Ekonometria	Ekonometria
Rodina	Regression model	Regression model
Rok vzniku	1990s–2000s	1991
Tvorca	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Daniel B. Nelson
Typ	Volatility model with asymmetry and parameter evolution	Volatility / conditional variance model
Pôvodný zdroj	Zakoïan, 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.
Ďalšie názvy	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Príbuzné	4	6
Zhrnutie	The TVP-TGARCH model extends Threshold GARCH by allowing its volatility parameters to evolve over time via a state-space representation. It captures both the leverage effect — that negative return shocks increase volatility more than positive ones — and structural change in that asymmetry, making it well-suited for long financial time series subject to regime shifts.	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.