stochvolTMB

Likelihood Estimation of Stochastic Volatility Models

CRAN Package

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) ).

  • Version0.2.0
  • R version≥ 3.5.0
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release08/13/2021

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  • Depends1 package
  • Imports6 packages
  • Suggests5 packages
  • Linking To2 packages