... model (Engle and Ng 199 3), thethreshold GARCH (TGARCH) model (Glosten, Jaganathan, and Runkle 199 3; Zakoian 199 4), andthe power GARCH (PGARCH) model (Ding, Granger, and Engle 199 3). For more details ... observation. This was also demonstrated byMaeshiro ( 197 6), Chipman ( 197 9), and Park and Mitchell ( 198 0).For large samples (Harvey and McAvinchey used 100 ), losing the first few observations doesnot ... well known as GJR-GARCH (Glosten, Ja-ganathan, and Runkle 199 3), which is similar to the threshold GARCH model proposed by Zakoian( 199 4) but not exactly same. In Zakoian’s model, the conditional...