invgamstochvol

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) http://rcea.org/RePEc/pdf/wp23-11.pdf. 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.

Last 30 days

This package has been downloaded 156 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 9 times.

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Last 365 days

This package has been downloaded 2,334 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Jul 21, 2024 with 148 downloads.

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