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)).

  • Version0.3.0
  • R versionR (≥ 3.5.0)
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release01/31/2025

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  • Imports5 packages
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