Comparer des méthodes

	Modèle autorégressif à paramètres variant dans le temps (TVP-AR)	Modèle de volatilité stochastique (Heston)
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1976–2005	1993
Auteur d'origine	Cooley & Prescott (1976); further developed by Kim & Nelson (1999) and Cogley & Sargent (2001, 2005)	Steven L. Heston
Type	Time-series model with drifting coefficients	Continuous-time stochastic volatility model
Source fondatrice	Cogley, T., & Sargent, T. J. (2005). Drifts and volatilities: Monetary policies and outcomes in the post WWII US. Review of Economic Dynamics, 8(2), 262-302.	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	TVP-AR, time-varying AR, state-space AR with drifting coefficients, random-walk coefficient AR	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Apparentées	4	5
Résumé	The Time-Varying Parameter Autoregressive (TVP-AR) model extends the classical AR model by allowing its autoregressive coefficients to drift over time, typically as a random walk. Cast as a state-space system, the model captures gradual structural change in the dynamics of a univariate time series without imposing a fixed break date.	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.