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	Model TGARCH s časovo premennými parametrami	Model GARCH (predikcia volatility)
Odbor	Ekonometria	Ekonometria
Rodina	Regression model	Regression model
Rok vzniku	1990s–2000s	1986
Tvorca	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Tim Bollerslev
Typ	Volatility model with asymmetry and parameter evolution	Conditional volatility model
Pôvodný zdroj	Zakoïan, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Ďalšie názvy	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Príbuzné	4	5
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 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.