Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo EGARCH Não Linear× | Modelo de Volatilidade Estocástica (Heston)× | |
|---|---|---|
| Área≠ | Econometria | Finanças |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1991 | 1993 |
| Autor original≠ | Daniel B. Nelson | Steven L. Heston |
| Tipo≠ | Conditional volatility model | Continuous-time stochastic volatility model |
| Fonte seminal≠ | 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 ↗ |
| Outros nomes | NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Relacionados | 5 | 5 |
| Resumo≠ | The Nonlinear EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the news impact function to take a flexible nonlinear form, capturing asymmetric and nonlinear responses of conditional volatility to past shocks. It is widely used in financial econometrics to model leverage effects and complex volatility dynamics in asset returns. | 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. |
| ScholarGateConjunto de dados ↗ |
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