Порівняння методів

	Модель Robust GARCH	Модель стохастичної волатильності (Гестон)
Галузь	Економетрика	Фінанси
Родина	Regression model	Regression model
Рік появи	1986–2013	1993
Автор методу	Boudt, Danielsson & Laurent (robust extensions); Bollerslev (standard GARCH, 1986)	Steven L. Heston
Тип	Volatility model	Continuous-time stochastic volatility model
Основоположне джерело	Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257.	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.
Інші назви	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)
Пов'язані	5	5
Підсумок	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.