Comparer des méthodes

	Modèle ARCH Non Linéaire (NARCH)	Modèle de volatilité stochastique (Heston)
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1992	1993
Auteur d'origine	Higgins & Bera	Steven L. Heston
Type	Volatility model	Continuous-time stochastic volatility model
Source fondatrice	Higgins, M. L., & Bera, A. K. (1992). A class of nonlinear ARCH models. International Economic Review, 33(1), 137-158.	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.
Alias	NARCH, Nonlinear ARCH, nonlinear conditional heteroscedasticity model, NARCH model	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Apparentées	4	5
Résumé	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.