Stochastic Volatility Models with or without Leverage

The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.


Reference manual

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install.packages("ASV")

1.1.4 by Yasuhiro Omori, 3 years ago


https://sites.google.com/view/omori-stat/english/software/asv-r


Browse source code at https://github.com/cran/ASV


Authors: Yasuhiro Omori [aut, cre] , Ryuji Hashimoto [ctr]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, freqdom, stats, graphics

Linking to Rcpp, RcppArmadillo, RcppProgress


See at CRAN