Comparar métodos

	Modelo EGARCH de Parâmetros Variantes no Tempo	Modelo de Volatilidade Estocástica (Heston)
Área	Econometria	Finanças
Família	Regression model	Regression model
Ano de origem	1991–2000s	1993
Autor original	Nelson (1991) for EGARCH; TVP extension developed across the 1990s–2000s literature (e.g., Harvey, Engle and co-authors)	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.	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.
Outros nomes	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)
Relacionados	3	5
Resumo	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.