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| Robust GARCH-modell× | Stokastisk volatilitetsmodell (Heston)× | |
|---|---|---|
| Ämnesområde≠ | Ekonometri | Finansiell ekonomi |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1986–2013 | 1993 |
| Upphovsperson≠ | Boudt, Danielsson & Laurent (robust extensions); Bollerslev (standard GARCH, 1986) | Steven L. Heston |
| Typ≠ | Volatility model | Continuous-time stochastic volatility model |
| Ursprungskälla≠ | Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257. 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 ↗ |
| Alias | Robust GARCH, outlier-robust GARCH, heavy-tail GARCH, contamination-robust volatility model | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | The Robust GARCH model extends the classical GARCH framework to handle outliers and heavy-tailed innovations that commonly appear in financial return series. By down-weighting extreme observations through a robust innovation term, it produces more reliable volatility forecasts when data contain jumps, crises, or other anomalies that would otherwise distort standard GARCH estimates. | 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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