Explain the term TGARCH as of the GARCHs family
Explain the term TGARCH as of the GARCH’s family. Answer: TGARCH: It is threshold GARCH. This is the same to GARCH but includes an extra term that kicks in while the shock is negative. This provides a realistic asymmetry to the volatility model.
Explain the term TGARCH as of the GARCH’s family.
Answer:
TGARCH: It is threshold GARCH. This is the same to GARCH but includes an extra term that kicks in while the shock is negative. This provides a realistic asymmetry to the volatility model.
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