Threshold GARCH (TGARCH) model: asymmetric volatility persistence (Excel)

Threshold GARCH (TGARCH) is an extension over GARCH models proposed by, among others, Jean-Michel Zakoian in 1994. It allows for asymmetric volatility persistence and variance clustering conditional on the direction of random disturbance. It can be very useful to model the asymmetric nature of shocks and risks in macroeconomic and financial data. Today, we are learning how to apply TGARCH in Excel and discuss its key features and improvements.
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You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@husawahusawa1915]

im sorry, but I cannot fine the spreadsheet on those link :(

[@dimasprasetyo9244]

Just the right amount of knowledge we need. Thanks NEDL these

[@muntedme203]

Can you go over forecasting from the model.

[@sobhanhosseinabadi5309]

this great, thanks for your time, how can we forecast volatility with tgarch?