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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) <doi:10.18637/jss.v070.i05>).
| Version: | 0.2.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | TMB, ggplot2, sn, stats, data.table, MASS |
| LinkingTo: | RcppEigen, TMB |
| Suggests: | testthat (≥ 2.1.0), shiny, knitr, rmarkdown, stochvol |
| Published: | 2021-08-13 |
| DOI: | 10.32614/CRAN.package.stochvolTMB |
| Author: | Jens Christian Wahl |
| Maintainer: | Jens Christian Wahl <jens.c.wahl at gmail.com> |
| BugReports: | https://github.com/JensWahl/stochvolTMB/issues |
| License: | GPL-3 |
| URL: | https://github.com/JensWahl/stochvolTMB |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | stochvolTMB results [issues need fixing before 2024-11-04] |
| Reference manual: | stochvolTMB.pdf |
| Vignettes: |
stochvolTMB: Likelihood estimation of stochastic volatility |
| Package source: | stochvolTMB_0.2.0.tar.gz |
| Windows binaries: | r-devel: stochvolTMB_0.2.0.zip, r-release: stochvolTMB_0.2.0.zip, r-oldrel: stochvolTMB_0.2.0.zip |
| macOS binaries: | r-release (arm64): stochvolTMB_0.2.0.tgz, r-oldrel (arm64): stochvolTMB_0.2.0.tgz, r-release (x86_64): stochvolTMB_0.2.0.tgz, r-oldrel (x86_64): stochvolTMB_0.2.0.tgz |
| Old sources: | stochvolTMB archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.