方法对比

	TGARCH 模型（阈值 GARCH）	自回归积分滑动平均模型 (ARIMA)
领域	计量经济学	计量经济学
方法族	Regression model	Regression model
起源年份	1993-1994	1970
提出者	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)	George Box and Gwilym Jenkins
类型	Asymmetric volatility model	Time series forecasting model
开创性文献	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
别名	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)
相关	6	6
摘要	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.	The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.