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| 시변 모수 자기회귀 모형 (TVP-AR)× | 확률적 변동성 모형 (헤스톤)× | |
|---|---|---|
| 분야≠ | 계량경제학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1976–2005 | 1993 |
| 창시자≠ | Cooley & Prescott (1976); further developed by Kim & Nelson (1999) and Cogley & Sargent (2001, 2005) | Steven L. Heston |
| 유형≠ | Time-series model with drifting coefficients | Continuous-time stochastic volatility model |
| 원전≠ | 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. 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 ↗ |
| 별칭 | 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) |
| 관련≠ | 4 | 5 |
| 요약≠ | 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. |
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