Compara mètodes

	Model de paràmetres variables en el temps GARCH (TVP-GARCH)	Model de volatilitat estocàstica (Heston)
Camp	Econometria	Finances
Família	Regression model	Regression model
Any d'origen	1982–2013	1993
Autor original	Engle (1982) for ARCH/GARCH foundation; extended by Creal, Koopman & Lucas (2013) and others for time-varying parameter variants	Steven L. Heston
Tipus	Volatility model with time-varying coefficients	Continuous-time stochastic volatility model
Font seminal	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.	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.
Àlies	TVP-GARCH, time-varying GARCH, TV-GARCH, state-space GARCH	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Relacionats	5	5
Resum	The Time-Varying Parameter GARCH model extends the standard GARCH framework by allowing the conditional variance parameters — including the ARCH and GARCH coefficients — to change over time rather than remaining fixed throughout the sample. This makes it well-suited to financial and macroeconomic series where volatility dynamics evolve across different market regimes or economic episodes.	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.