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:	0.2.0
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:	2021-08-13
DOI:	10.32614/CRAN.package.stochvolTMB
Author:	Jens Christian Wahl
Maintainer:	Jens Christian 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 [issues need fixing before 2024-11-04]

Documentation:

Reference manual:	stochvolTMB.pdf
Vignettes:	stochvolTMB: Likelihood estimation of stochastic volatility

Downloads:

Package source:	stochvolTMB_0.2.0.tar.gz
Windows binaries:	r-devel: stochvolTMB_0.2.0.zip, r-release: stochvolTMB_0.2.0.zip, r-oldrel: stochvolTMB_0.2.0.zip
macOS binaries:	r-release (arm64): stochvolTMB_0.2.0.tgz, r-oldrel (arm64): stochvolTMB_0.2.0.tgz, r-release (x86_64): stochvolTMB_0.2.0.tgz, r-oldrel (x86_64): stochvolTMB_0.2.0.tgz
Old sources:	stochvolTMB archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=stochvolTMB to link to this page.