เปรียบเทียบวิธี

	โมเดล EGARCH แบบทนทาน	แบบจำลองทีจีอาร์ซีเอช (TGARCH Model - Threshold GARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	2008	1993-1994
ผู้ริเริ่ม	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
ประเภท	Robust volatility model	Asymmetric volatility model
แหล่งต้นตำรับ	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
ชื่อเรียกอื่น	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
ที่เกี่ยวข้อง	6	6
สรุป	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.