Comparer des méthodes

	Modèle ARCH Robuste	Modèle de volatilité stochastique (Heston)
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	2002–2008	1993
Auteur d'origine	Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s	Steven L. Heston
Type	Volatility / conditional heteroscedasticity model	Continuous-time stochastic volatility model
Source fondatrice	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.
Alias	robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Apparentées	6	5
Résumé	The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate 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.