Man pages for JensWahl/stochvolTMB
Likelihood Estimation of Stochastic Volatility Models
| demo | Run shiny demo |
| estimate_parameters | Estimate parameters for the stochastic volatility model |
| get_nll | Construct objective function with derivatives using MakeADFun |
| logit | Logit transformation from the real line to (-1, 1). |
| plot_forecast | Add predicted volatility. |
| plot.stochvolTMB | Plot the estimated latent volatility process |
| predict.stochvolTMB | Predict future returns and future volatilities |
| residuals | Calculate one-step-ahead (OSA) residuals for stochastic... |
| sim_sv | Simulate log-returns from a stochastic volatility model |
| simulate_parameters | Simulate from the asymptotic distribution of the parameter... |
| spy | Daily closing prices for the S&P500 from 2005 to 2018. |
| summary | Summary tables of model parameters |
| summary.stochvolTMB_predict | Calculate quantiles based on predictions from the predictive... |
