NEWS.md

In JensWahl/stochvolTMB: Likelihood Estimation of Stochastic Volatility Models

stochvolTMB 0.2.0

• Added predict function that makes it possible to simulate future volatility and log-returns.
• plot has a new forecast argument that makes it possible to include forecasted volatility.
• The degrees of freedom for the t model is estimated on log scale and shifted by 2 so that it is guaranteed to be greater than 2. This is to ensure that the variance is finite.
• Changed parameter names from phi_logit and rho_logit to logit_phi and logit_rho to be consistent with other parameter names.
• Updated README.
• Updated documentation.

stochvolTMB 0.1.2

• CRAN release

JensWahl/stochvolTMB documentation built on Feb. 5, 2025, 9:28 p.m.