ScholarGate
Msaidizi
Regression modelEconometrics / time series

Modeli ya TGARCH (Threshold GARCH)

Modeli ya Threshold GARCH (TGARCH) huupanua mfumo wa kawaida wa GARCH kwa kuruhusu mshtuko chanya na hasi wa mapato kuwa na athari zisizo sawa kwenye kiwango tofauti kinachotarajiwa. Mshtuko hasi — habari mbaya — kwa kawaida huongeza mgeuko zaidi kuliko mshtuko chanya wa ukubwa sawa, ukweli ulioandikwa kama athari ya kujiinua. TGARCH hunasa kutokuwa sawa huku kupitia kiashirio cha kizingiti ambacho huwashwa wakati mshtuko wa kipindi kilichopita ulikuwa hasi.

Tumia kupitia EconMindHivi karibuniVideoHivi karibuniDownload slides

Soma mbinu kamili

Kwa wanachama pekee

Ingia kwa akaunti ya bure ili kusoma sehemu hii.

Ingia

Method map

The neighbourhood of related methods — select a node to explore.

Modeli ya TGARCH (Threshold GARCH)
Muundo wa ARCH (Autoregr…Mfumo wa ARIMA (Autoregr…Mchambuko wa DCC-GARCH (…Modeli ya EGARCH (Expone…Modeli wa GARCH (Utabiri…Ubora wa Utegemezi wa Vi…Bayesian TGARCH (Thresho…Mfumo wa GARCH wa FourierMfumo wa Fourier TGARCHMfumo wa EGARCH Usio wa…

+9 more

Vyanzo

  1. Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI: 10.1016/0165-1889(94)90039-6 ↗
  2. Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 3). Threshold Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/sw/econometrics/tgarch-model

Which method?

Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.

Compare side by side →

Imerejelewa na

Muundo wa ARCH (Autoregressive Conditional Heteroskedasticity)Bayesian TGARCH (Threshold GARCH yenye Makadirio ya Bayesian)Mchambuko wa DCC-GARCH (Dynamic Conditional Correlation)Modeli ya EGARCH (Exponential GARCH)Mfumo wa GARCH wa FourierMfumo wa Fourier TGARCHMfumo wa EGARCH Usio wa MstariKielelezo cha GARCH kisicho cha mstariMuundo wa Nonlinear TGARCHModeli ya GARCH ya PaneliMfumo Imara wa EGARCHTGARCH ImaraMfumo wa ARCH wa Mabadiliko ya KimuundoMfumo wa EGARCH wa Mapumziko ya KiunziTGARCH ya Mapumziko ya Kiunzi (Threshold GARCH yenye Mapumziko ya Kiunzi)Mfumo wa Thamani unaobadilika kwa Wakati wa TGARCH

Umeona tatizo kwenye ukurasa huu? Ripoti au pendekeza marekebisho →

ScholarGate — TGARCH model (Threshold Generalized Autoregressive Conditional Heteroscedasticity Model). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/tgarch-model · Seti ya data: https://doi.org/10.5281/zenodo.20539026