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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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