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| Model d'ARCom no lineal (NARCH)× | Model de volatilitat estocàstica (Heston)× | |
|---|---|---|
| Camp≠ | Econometria | Finances |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1992 | 1993 |
| Autor original≠ | Higgins & Bera | Steven L. Heston |
| Tipus≠ | Volatility model | Continuous-time stochastic volatility model |
| Font seminal≠ | Higgins, M. L., & Bera, A. K. (1992). A class of nonlinear ARCH models. International Economic Review, 33(1), 137-158. DOI ↗ | Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. DOI ↗ |
| Àlies | NARCH, Nonlinear ARCH, nonlinear conditional heteroscedasticity model, NARCH model | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Relacionats≠ | 4 | 5 |
| Resum≠ | The Nonlinear ARCH (NARCH) model, introduced by Higgins and Bera (1992), extends Engle's original ARCH framework by allowing the power transformation of volatility to be estimated from the data rather than fixed at two. This flexibility captures a broader class of volatility dynamics observed in financial and macroeconomic time series. | The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH. |
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