stochvol

MaRDI QIDQ31210swMATHCRANWikidataFDO

Authors Darjus Hosszejni, Gregor Kastner

Last update 7 March 2026

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

Software version identifier 3.2.1, 0.5-0, 0.5-1, 0.6-0, 0.6-1, 0.7-0, 0.7-1, 0.8-0, 0.8-1, 0.8-2, 0.8-4, 0.9-0, 0.9-1, 1.0.0, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.3.0, 1.3.1, 1.3.2, 1.3.3, 2.0.0, 2.0.1, 2.0.2, 2.0.3, 2.0.4, 3.0.0, 3.0.1, 3.0.2, 3.0.3, 3.0.4, 3.0.5, 3.0.6, 3.1.0, 3.2.0, 3.2.3, PACKAGES.rds, 3.2.3, 3.2.4, 3.2.5, 3.2.6, 3.2.7, 3.2.8, 3.2.9

Official website https://cran.r-project.org/web/packages/stochvol/index.html

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

Description

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) <doi:10.1016/j.csda.2013.01.002> and Hosszejni and Kastner (2019) <doi:10.1007/978-3-030-30611-3_8>; the most common use cases are described in Hosszejni and Kastner (2021) <doi:10.18637/jss.v100.i12> and Kastner (2016) <doi:10.18637/jss.v069.i05> and the package examples.

Cites work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
• Dealing with Stochastic Volatility in Time Series Using theRPackagestochvol
• Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Cited in

(53)

• Sparse Bayesian time-varying covariance estimation in many dimensions
• OrthogonalPolynomials
• stochvolTMB
• Volatility and return jumps in Bitcoin
• Conducting highly principled data science: a statistician's job and joy
• Debt regimes and the effectiveness of monetary policy
• The split-SV model
• Sequential Bayesian inference for static parameters in dynamic state space models
• dlm
• A flexible mixed-frequency vector autoregression with a steady-state prior
• Dynamic tail inference with log-Laplace volatility
• fGarch
• Blind source separation for compositional time series
• The heterogeneous impact of monetary policy on the US labor market
• zoo
• pomp
• bvarsv
• JADE
• StatDA
• FKF
• BSSasymp
• MSC
• seasonal
• LibBi
• Biips
• vSMC
• Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
• gets
• MSGARCH
• rmgarch
• shrinkTVP
• NormalBetaPrime
• GIGrvg
• GEVStableGarch
• factorstochvol
• rSGDLM
• Predicting crypto-currencies using sparse non-Gaussian state space models
• Forecasting global equity indices using large Bayesian VARs
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• The copula directional dependence by stochastic volatility models
• tsBSS
• fredr
• Specification tests for time-varying parameter models with stochastic volatility
• GVAR
• bayesianVARs
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• dsp
• BGVAR
• shrinkTVPVAR
• Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
• Achieving shrinkage in a time-varying parameter model framework
• shrinkDSM
• bsvars

This page was built for software: stochvol