Comparer des méthodes

	Modèle ARCH à paramètres variant dans le temps (TVP-ARCH)	Modèle de volatilité stochastique (Heston)
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1980s–1990s	1993
Auteur d'origine	Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature	Steven L. Heston
Type	Conditional heteroscedasticity model with time-varying coefficients	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	TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Apparentées	5	5
Résumé	The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime.	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.