Порівняння методів

	Модель Нелінійного TGARCH	Модель GARCH (Прогнозування волатильності)
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	1993–1994	1986
Автор методу	Jean-Michel Zakoian; related work by Glosten, Jagannathan & Runkle	Tim Bollerslev
Тип	Conditional heteroskedasticity model	Conditional volatility model
Основоположне джерело	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Інші назви	NL-TGARCH, Nonlinear Threshold GARCH, Asymmetric TGARCH, GJR-GARCH variant	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Пов'язані	4	5
Підсумок	The Nonlinear TGARCH (Threshold GARCH) model extends the standard GARCH framework by allowing positive and negative shocks of equal magnitude to exert different effects on future volatility. It models conditional volatility in terms of the absolute value of lagged residuals split by a sign threshold, capturing the well-documented leverage effect in financial return series.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.