CRAN/E | invgamstochvol

invgamstochvol

Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model

Installation

About

Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) . The closed form expression is obtained for a stationary inverse gamma stochastic volatility model by marginalising out the volatility. This allows the user to obtain the maximum likelihood estimator for this non linear non Gaussian state space model. In addition, the user can obtain the estimates of the smoothed volatility using the exact smoothing distributions.

Key Metrics

Version 1.0.0
R ≥ 2.10
Published 2023-08-18 393 days ago
Needs compilation? yes
License MIT
License File
CRAN checks invgamstochvol results
Language en-US

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Maintainer

Maintainer

Blessings Majoni

Authors

Leon Gonzalez

aut / cph

Blessings Majoni

aut / cre

Material

NEWS
Reference manual
Package source

Vignettes

A Tutorial for invgamstochvol package

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

invgamstochvol archive

Depends

R ≥ 2.10

Imports

Rcpp ≥ 1.0.10

Suggests

knitr
rmarkdown
spelling

LinkingTo

Rcpp
RcppArmadillo