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>).
| Version: | 0.3.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | TMB,ggplot2,sn, stats,data.table,MASS |
| LinkingTo: | RcppEigen,TMB |
| Suggests: | testthat (≥ 2.1.0),shiny,knitr,rmarkdown,stochvol |
| Published: | 2025-01-31 |
| DOI: | 10.32614/CRAN.package.stochvolTMB |
| Author: | Jens Wahl [aut, cre] |
| Maintainer: | Jens Wahl <jens.c.wahl at gmail.com> |
| BugReports: | https://github.com/JensWahl/stochvolTMB/issues |
| License: | GPL-3 |
| URL: | https://github.com/JensWahl/stochvolTMB |
| NeedsCompilation: | yes |
| Materials: | README,NEWS |
| CRAN checks: | stochvolTMB results |
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=stochvolTMBto link to this page.