Regression modelEconometrics / time series
TGARCH 模型（阈值 GARCH）
阈值 GARCH (TGARCH) 模型扩展了标准的 GARCH 框架，允许正向和负向的回报冲击对条件方差产生不对称影响。负向冲击——坏消息——通常比同等幅度的正向冲击更能放大波动性，这是被称为杠杆效应的典型事实。TGARCH 通过一个阈值指示器来捕捉这种不对称性，当上一期的冲击为负时，该指示器会激活。
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来源
- 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 ↗
- 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. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗
如何引用本页
ScholarGate. (2026, June 3). Threshold Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/tgarch-model
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