So sánh phương pháp

	Panel TGARCH (Ngưỡng GARCH cho Dữ liệu Bảng)	GJR-GARCH (GARCH bất đối xứng)	Panel EGARCH
Lĩnh vực	Kinh tế lượng	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model	Regression model
Năm ra đời	1993–1994 (panel extension: 2000s onward)	1993	1991 (EGARCH); panel extensions widely used from 2000s
Người khởi xướng	Glosten, Jagannathan & Runkle (1993); Zakoian (1994); extended to panel settings by subsequent applied finance literature	Glosten, Jagannathan & Runkle (1993); Zakoian (1994)	Daniel B. Nelson (EGARCH); panel extension by applied econometrics literature
Loại	Asymmetric conditional volatility model	Asymmetric conditional volatility model	Volatility model
Công trình gốc	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801.	Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Tên gọi khác	Panel GJR-GARCH, Panel Asymmetric GARCH, Panel Threshold GARCH, TGARCH panel model	asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle)	Panel EGARCH model, panel exponential GARCH, EGARCH for panel data, cross-sectional EGARCH
Liên quan	4	5	4
Tóm tắt	Panel TGARCH extends the Threshold GARCH (GJR-GARCH) model to panel data, allowing each cross-sectional unit to exhibit asymmetric volatility responses — where negative shocks generate larger variance increases than positive shocks of the same magnitude — while exploiting the cross-sectional dimension to obtain more efficient parameter estimates.	GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).	Panel EGARCH extends Nelson's (1991) Exponential GARCH model to a panel setting, allowing conditional variance to evolve asymmetrically over time for each cross-sectional unit. The log specification ensures non-negative variance without parameter constraints, and the leverage term distinguishes whether negative shocks amplify volatility more than positive ones of equal magnitude.