เปรียบเทียบวิธี

	แบบจำลอง Nonlinear TGARCH	แบบจำลอง EGARCH (Exponential GARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1993–1994	1991
ผู้ริเริ่ม	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Daniel B. Nelson
ประเภท	Conditional heteroskedasticity model	Volatility / conditional variance model
แหล่งต้นตำรับ	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
ชื่อเรียกอื่น	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
ที่เกี่ยวข้อง	4	6
สรุป	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 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.