stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
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 Kastner (2016) <doi:10.18637/jss.v069.i05> and the package vignette.
| Version: | 3.0.6 |
| Depends: | R (≥ 3.5) |
| Imports: | Rcpp (≥ 1.0), coda (≥ 0.19), graphics, stats, utils, grDevices |
| LinkingTo: | Rcpp, RcppArmadillo (≥ 0.9.900) |
| Suggests: | testthat (≥ 2.3.2), RColorBrewer, LSD, zoo, factorstochvol, mvtnorm, knitr |
| Published: | 2021-05-20 |
| Author: | Darjus Hosszejni 
[aut, cre],
Gregor Kastner
[aut] |
| Maintainer: | Darjus Hosszejni <darjus.hosszejni at wu.ac.at> |
| BugReports: | https://github.com/gregorkastner/stochvol/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://gregorkastner.github.io/stochvol/ |
| NeedsCompilation: | yes |
| Citation: | stochvol citation info |
| Materials: | NEWS |
| In views: | Bayesian, Finance, TimeSeries |
| CRAN checks: | stochvol results |
Downloads:
| Reference manual: | stochvol.pdf |
| Vignettes: |
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol |
| Package source: | stochvol_3.0.6.tar.gz |
| Windows binaries: | r-devel: stochvol_3.0.6.zip, r-devel-UCRT: stochvol_3.0.6.zip, r-release: stochvol_3.0.6.zip, r-oldrel: stochvol_3.0.6.zip |
| macOS binaries: | r-release (arm64): stochvol_3.0.6.tgz, r-release (x86_64): stochvol_3.0.6.tgz, r-oldrel: stochvol_3.0.6.tgz |
| Old sources: | stochvol archive |
Reverse dependencies:
| Reverse imports: | factorstochvol, mfbvar, shrinkTVP |
| Reverse linking to: | factorstochvol, mfbvar, shrinkTVP |
| Reverse suggests: | stochvolTMB, tensorBSS, tsBSS |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=stochvol to link to this page.