JensWahl/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>).
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | GPL-3 |
| Version | 0.3.0 |
| URL | https://github.com/JensWahl/stochvolTMB |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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