Порівняння методів

	Байєсівський TGARCH (пороговий GARCH з байєсівською оцінкою)	Модель TGARCH (Threshold GARCH)
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	1994 / 2008	1993-1994
Автор методу	Zakoian (1994) for TGARCH; Bayesian estimation formalized by Ardia (2008)	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Тип	Volatility model with asymmetric threshold and Bayesian inference	Asymmetric volatility model
Основоположне джерело	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Інші назви	Bayesian TGARCH, Bayesian GJR-GARCH, Threshold GARCH with Bayesian estimation, TGARCH-B	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Пов'язані	6	6
Підсумок	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.	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.