Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo GARCH de Parámetros Variables en el Tiempo (TVP-GARCH)× | Modelo de volatilidad estocástica (Heston)× | |
|---|---|---|
| Campo≠ | Econometría | Finanzas |
| Familia | Regression model | Regression model |
| Año de 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 |
| Tipo≠ | Volatility model with time-varying coefficients | Continuous-time stochastic volatility model |
| Fuente seminal≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. 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 ↗ |
| Alias | TVP-GARCH, time-varying GARCH, TV-GARCH, state-space GARCH | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Relacionados | 5 | 5 |
| Resumen≠ | 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. |
| ScholarGateConjunto de datos ↗ |
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