Likelihood Estimation of Stochastic Volatility Models

Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) ).


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Reference manual

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install.packages("stochvolTMB")

0.1.2 by Jens Christian Wahl, 3 months ago


https://github.com/JensWahl/stochvolTMB


Report a bug at https://github.com/JensWahl/stochvolTMB/issues


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


Authors: Jens Christian Wahl <[email protected]>


Documentation:   PDF Manual  


GPL-3 license


Imports TMB, ggplot2, sn, stats, data.table

Suggests testthat, shiny, knitr, rmarkdown, stochvol

Linking to RcppEigen, TMB


See at CRAN