stochvolTMB: 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) <doi:10.18637/jss.v070.i05>).

Package details

AuthorJens Christian Wahl <jens.c.wahl@gmail.com>
MaintainerJens Christian Wahl <jens.c.wahl@gmail.com>
LicenseGPL-3
Version0.1.2
URL https://github.com/JensWahl/stochvolTMB
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("stochvolTMB")

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stochvolTMB documentation built on Sept. 4, 2020, 5:07 p.m.