This article develops theoretical insight into the treshold effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfeiderer setup with liquidity traders, informed traders and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (meaning "treshold GARCH") for the market price changes.
LONGIN, F. (1997). The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information. Review of Financial Studies, pp. 837-869.