Krahasoni metodat

	TGARCH me Thyerje Strukturore (TGARCH Kufi me Thyerje Strukturore)	Modeli TGARCH (Threshold GARCH)
Fusha	Ekonometri	Ekonometri
Familja	Regression model	Regression model
Viti i origjinës	1990-1993	1993-1994
Krijuesi	Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Lloji	Volatility model	Asymmetric volatility model
Burimi themelues	Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Emërtime të tjera	SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Të lidhura	3	6
Përmbledhja	Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data.	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.