Uporedite metode

	Nelinearni TGARCH model	ARCH model (autoregresivna uslovna heteroskedastičnost)	EGARCH model (eksponencijalni GARCH)
Oblast	Ekonometrija	Ekonometrija	Ekonometrija
Porodica	Regression model	Regression model	Regression model
Godina nastanka	1993–1994	1982	1991
Tvorac	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Robert F. Engle	Daniel B. Nelson
Tip	Conditional heteroskedasticity model	Conditional volatility model	Volatility / conditional variance model
Temeljni izvor	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Drugi nazivi	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Srodne	4	6	6
Sažetak	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 ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.