Regression modelEconometrics / time series

Bayesian TGARCH (Threshold GARCH with Bayesian Estimation)

Bayesian TGARCH combines the Threshold GARCH volatility model — which captures the asymmetric response of volatility to positive versus negative shocks — with full Bayesian inference via Markov Chain Monte Carlo sampling. The result is a principled, uncertainty-aware framework for modeling leverage effects and fat-tailed financial returns.

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Sources

  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. Ardia, D. (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications. Springer. ISBN: 978-3-540-78656-6

Related methods

Referenced by

ScholarGateBayesian TGARCH (Bayesian Threshold Generalized Autoregressive Conditional Heteroscedasticity Model). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/bayesian-tgarch