Nothing
invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model
Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) <http://rcea.org/RePEc/pdf/wp23-11.pdf> . The closed form expression is obtained for a stationary inverse gamma stochastic volatility model by marginalising out the volatility. This allows the user to obtain the maximum likelihood estimator for this non linear non Gaussian state space model. In addition, the user can obtain the estimates of the smoothed volatility using the exact smoothing distributions.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Leon Gonzalez [aut, cph], Blessings Majoni [aut, cre] (<https://orcid.org/0009-0006-1793-1241>) |
| Maintainer | Blessings Majoni <bmayjay@gmail.com> |
| License | MIT + file LICENSE |
| Version | 1.0.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the invgamstochvol package in your browser
Any scripts or data that you put into this service are public.
