ASV

Stochastic Volatility Models with or without Leverage

Last update: 15 February 2024

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

Software version identifier: 1.1.1, 1.0.0, 1.1.0, 1.1.2, 1.1.4

Description

The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.

This page was built for software: ASV