เปรียบเทียบวิธี

	Structural Break TGARCH (Threshold GARCH with Structural Breaks)	แบบจำลองทีจีอาร์ซีเอช (TGARCH Model - Threshold GARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1990-1993	1993-1994
ผู้ริเริ่ม	Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
ประเภท	Volatility model	Asymmetric volatility model
แหล่งต้นตำรับ	Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
ชื่อเรียกอื่น	SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
ที่เกี่ยวข้อง	3	6
สรุป	Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data.	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.