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TARCH

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An extension to the basic GARCH model that allows for such asymmetry is known as the Threshold-GARCH or TARCH model (Glosten, Jagannathan, and Runkle 1993).
Changing inflation dynamics and uncertainty in the United States by Miles, William; Vijverberg, Chu-Ping C. / Southern Economic Journal
Due to this kind of problem in assumption, we can also use the TARCH (threshold ARCH) model of Glosten, Jagannathan and Runkle (2) and the exponential GARCH (EGARCH) model of Nelson (3) which specialized in measuring asymmetric volatility of the exchange rate.
The volatility and asymmetry of Won/Dollar exchange rate by Yoon, Seok; Lee, Ki Seong / Journal of Social Sciences
However, use of the TARCH model has made rejection of the null hypothesis more likely for all countries.
Does Central Bank transparency impact financial markets? A ... by Tomljanovich, Marc / Southern Economic Journal
 
 
 
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