stochvolTMB

Last update 31 January 2025

Copyright license GNU General Public License, version 3.0

Software version identifier 0.2.0, PACKAGES.rds, 0.1.0, 0.1.1, 0.1.2, 0.3.0

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

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

Description

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>).

Cites work

TMB: Automatic Differentiation and Laplace Approximation

Cited in

(1)

factorstochvol

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