5.0版本就可以了啊，好像Eviews将其称为 TGARCH

瞎说吧 这个叫TGARCH？

EViews actually estimates the GJR-GARCH model when you select the GARCH/TARCH option and specify a threshold order. Original TARCH model works on conditional standard deviation. However, as you can verify it from the user's guide, EViews' TARCH model uses the same specification as GJR model does. Given that, in order to employ a different error distribution, all you have to do is select from the drop down menu in the ARCH-GARCH models dialog box

GJR GARCH (即 Eviews 中的 TGARCH) 允許更多落後期 (threshold order)

變異數方程式之參數可設限制式 (restrictions), 包含 IGARCH 和 variance target 的方法

多了一個 power GARCH (PGARCH) 模型可用
来源：http://yaya.it.cycu.edu.tw/Defau ... ent&nID=1830200

不晓得哎啊