Сравнение методов

	Нелинейная модель EGARCH	Модель стохастической волатильности (Хестон)
Область	Эконометрика	Финансы
Семейство	Regression model	Regression model
Год появления	1991	1993
Автор метода	Daniel B. Nelson	Steven L. Heston
Тип	Conditional volatility model	Continuous-time stochastic volatility model
Основополагающий источник	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.
Другие названия	NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Связанные	5	5
Сводка	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.