Uporedite metode

	Model TGARCH sa vremenski promenljivim parametrima	Model TGARCH (Prag GARCH)
Oblast	Ekonometrija	Ekonometrija
Porodica	Regression model	Regression model
Godina nastanka	1990s–2000s	1993-1994
Tvorac	Extension combining Zakoïan (1994) TGARCH and time-varying parameter methods	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tip	Volatility model with asymmetry and parameter evolution	Asymmetric volatility model
Temeljni izvor	Zakoïan, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Drugi nazivi	TVP-TGARCH, time-varying TGARCH, threshold GARCH with time-varying parameters, TVP Threshold GARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Srodne	4	6
Sažetak	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 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.