方法对比
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| 时变参数 GARCH 模型 (TVP-GARCH)× | 随机波动率模型 (Heston)× | |
|---|---|---|
| 领域≠ | 计量经济学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1982–2013 | 1993 |
| 提出者≠ | Engle (1982) for ARCH/GARCH foundation; extended by Creal, Koopman & Lucas (2013) and others for time-varying parameter variants | Steven L. Heston |
| 类型≠ | Volatility model with time-varying coefficients | Continuous-time stochastic volatility model |
| 开创性文献≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. 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 ↗ |
| 别名 | TVP-GARCH, time-varying GARCH, TV-GARCH, state-space GARCH | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| 相关 | 5 | 5 |
| 摘要≠ | The Time-Varying Parameter GARCH model extends the standard GARCH framework by allowing the conditional variance parameters — including the ARCH and GARCH coefficients — to change over time rather than remaining fixed throughout the sample. This makes it well-suited to financial and macroeconomic series where volatility dynamics evolve across different market regimes or economic episodes. | 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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