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) ).


Reference manual

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0.2.0 by Jens Christian Wahl, 5 months ago

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Authors: Jens Christian Wahl <[email protected]>

Documentation:   PDF Manual  

GPL-3 license

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

Suggests testthat, shiny, knitr, rmarkdown, stochvol

Linking to RcppEigen, TMB

See at CRAN