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: 0.1.2
Depends: R (≥ 3.5.0)
Imports: TMB, ggplot2, sn, stats, data.table
LinkingTo: RcppEigen, TMB
Suggests: testthat (≥ 2.1.0), shiny, knitr, rmarkdown, stochvol
Published: 2020-09-04
Author: Jens Christian Wahl
Maintainer: Jens Christian Wahl <jens.c.wahl at>
License: GPL-3
NeedsCompilation: yes
Materials: README
CRAN checks: stochvolTMB results


Reference manual: stochvolTMB.pdf
Vignettes: stochvolTMB: Likelihood estimation of stochastic volatility
Package source: stochvolTMB_0.1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: stochvolTMB_0.1.2.tgz, r-oldrel: stochvolTMB_0.1.2.tgz
Old sources: stochvolTMB archive


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