sv_init: Initialize latent volatilities in a stochastic volatility...

In mlysy/svcommon: Fast Inference for Common-Factor Stochastic Volatility Models

Initialize latent volatilities in a stochastic volatility model.

Description

Initialize latent volatilities in a stochastic volatility model.

Usage

sv_init(Xt, dt, block_size)

Arguments

Xt	Vector of log-prices.
dt	Interobservation time.
block_size	Block size over which to calculate variance.

Value

A vector of volatilities on the standard deviation scale, of the same length as Xt.

mlysy/svcommon documentation built on Sept. 15, 2024, 1:15 a.m.