เปรียบเทียบวิธี

	Threshold and Smooth-Transition VAR	Exponential GARCH (EGARCH)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1998	1991
ผู้ริเริ่ม	Tsay (multivariate threshold modelling)	Nelson
ประเภท	Nonlinear multivariate time-series model	Conditional volatility model (asymmetric GARCH variant)
แหล่งต้นตำรับ	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
ชื่อเรียกอื่น	TVAR, STVAR, regime-switching VAR, threshold VAR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
ที่เกี่ยวข้อง	5	4
สรุป	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.