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| Model TVP-EGARCH (Time-Varying Parameter EGARCH)× | Model zmienności stochastycznej (Heston)× | |
|---|---|---|
| Dziedzina≠ | Ekonometria | Finanse |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1991–2000s | 1993 |
| Twórca≠ | Nelson (1991) for EGARCH; TVP extension developed across the 1990s–2000s literature (e.g., Harvey, Engle and co-authors) | Steven L. Heston |
| Typ≠ | Conditional volatility model | Continuous-time stochastic volatility model |
| Źródło pierwotne≠ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. 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 ↗ |
| Inne nazwy | TVP-EGARCH, time-varying EGARCH, EGARCH with time-varying parameters, dynamic parameter EGARCH | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Pokrewne≠ | 3 | 5 |
| Podsumowanie≠ | The TVP-EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the volatility equation's parameters — including the leverage effect coefficient — to drift continuously over time. This makes it possible to capture structural change and regime evolution in financial return volatility 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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