factorstochvol

swMATH31446CRANfactorstochvolMaRDI QIDQ43157

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Gregor Kastner

Last update: 24 November 2023

Software version identifier: 1.0.1, 0.8.1, 0.8.2, 0.8.3, 0.9.2, 0.9.3, 0.9, 0.10.0, 0.10.1, 0.10.2, 1.0.0, 1.0.2, 1.0.6, 1.1.0

Source code repository: https://github.com/cran/factorstochvol

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Description

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.

Cites work

• Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
• Sparse Bayesian time-varying covariance estimation in many dimensions