Man pages for stochvolTMB
Likelihood Estimation of Stochastic Volatility Models

demoRun shiny demo
estimate_parametersEstimate parameters for the stochastic volatility model
get_nllConstruct objective function with derivatives using MakeADFun
logitLogit transformation from the real line to (-1, 1).
plot_forecastAdd predicted volatility.
plot.stochvolTMBPlot the estimated latent volatility process
predict.stochvolTMBPredict future returns and future volatilities
residualsCalculate one-step-ahead (OSA) residuals for stochastic...
sim_svSimulate log-returns from a stochastic volatility model
simulate_parametersSimulate from the asymptotic distribution of the parameter...
spyDaily closing prices for the S&P500 from 2005 to 2018.
summarySummary tables of model parameters
summary.stochvolTMB_predictCalculate quantiles based on predictions from the predictive...
stochvolTMB documentation built on Aug. 13, 2021, 5:07 p.m.