wARMASVp-package: wARMASVp: Winsorized ARMA Estimation for Higher-Order...

In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models

wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models

Description

Estimation, simulation, hypothesis testing, and forecasting for univariate higher-order stochastic volatility SV(p) models. Supports Gaussian, Student-t, and GED innovations with optional leverage effects.

Details

The main user-facing functions are:

• svp – Estimate SV(p) model with optional leverage

• svpSE – Simulation-based standard errors

• sim_svp – Simulate SV(p) processes

• filter_svp – Kalman/mixture/particle filtering

• forecast_svp – Multi-step volatility forecasts

• lmc_ar, mmc_ar – AR order tests

• lmc_lev, mmc_lev – Leverage tests

• lmc_t, mmc_t – Student-t tail tests

• lmc_ged, mmc_ged – GED tail tests

Author(s)

Maintainer: Gabriel Rodriguez-Rondon [e-mail] (ORCID)

Authors:

• Md. Nazmul Ahsan

• Jean-Marie Dufour

References

Ahsan, M. N. and Dufour, J.-M. (2021). Simple estimators and inference for higher-order stochastic volatility models. Journal of Econometrics, 224(1), 181-197. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jeconom.2021.03.008")}

Ahsan, M. N., Dufour, J.-M., and Rodriguez-Rondon, G. (2025). Estimation and inference for higher-order stochastic volatility models with leverage. Journal of Time Series Analysis, 46(6), 1064-1084. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/jtsa.12851")}

Ahsan, M. N., Dufour, J.-M., and Rodriguez-Rondon, G. (2026). Estimation and inference for stochastic volatility models with heavy-tailed distributions. Bank of Canada Staff Working Paper 2026-8. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.34989/swp-2026-8")}

See Also

Useful links:

• https://github.com/roga11/wARMASVp

• Report bugs at https://github.com/roga11/wARMASVp/issues

wARMASVp documentation built on May 15, 2026, 5:07 p.m.