Krahasoni metodat

	Model EGARCH Robust	Modeli TGARCH (Threshold GARCH)
Fusha	Ekonometri	Ekonometri
Familja	Regression model	Regression model
Viti i origjinës	2008	1993-1994
Krijuesi	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Lloji	Robust volatility model	Asymmetric volatility model
Burimi themelues	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Emërtime të tjera	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Të lidhura	6	6
Përmbledhja	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative.