Package: stochvolTMB 0.3.0
stochvolTMB: Likelihood Estimation of Stochastic Volatility Models
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) <doi:10.18637/jss.v070.i05>).
Authors:
stochvolTMB_0.3.0.tar.gz
stochvolTMB_0.3.0.zip(r-4.5)stochvolTMB_0.3.0.zip(r-4.4)stochvolTMB_0.3.0.zip(r-4.3)
stochvolTMB_0.3.0.tgz(r-4.5-x86_64)stochvolTMB_0.3.0.tgz(r-4.5-arm64)stochvolTMB_0.3.0.tgz(r-4.4-x86_64)stochvolTMB_0.3.0.tgz(r-4.4-arm64)stochvolTMB_0.3.0.tgz(r-4.3-x86_64)stochvolTMB_0.3.0.tgz(r-4.3-arm64)
stochvolTMB_0.3.0.tar.gz(r-4.5-noble)stochvolTMB_0.3.0.tar.gz(r-4.4-noble)
stochvolTMB.pdf |stochvolTMB.html✨
stochvolTMB/json (API)
NEWS
| # Install 'stochvolTMB' in R: |
| install.packages('stochvolTMB', repos = c('https://jenswahl.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/jenswahl/stochvoltmb/issues
- spy - Daily closing prices for the S&P500 from 2005 to 2018.
Last updated 19 days agofrom:63010044a2. Checks:11 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Feb 01 2025 |
| R-4.5-win-x86_64 | OK | Feb 01 2025 |
| R-4.5-mac-x86_64 | OK | Feb 01 2025 |
| R-4.5-mac-aarch64 | OK | Feb 01 2025 |
| R-4.5-linux-x86_64 | OK | Feb 01 2025 |
| R-4.4-win-x86_64 | OK | Feb 01 2025 |
| R-4.4-mac-x86_64 | OK | Feb 01 2025 |
| R-4.4-mac-aarch64 | OK | Feb 01 2025 |
| R-4.3-win-x86_64 | OK | Feb 01 2025 |
| R-4.3-mac-x86_64 | OK | Feb 01 2025 |
| R-4.3-mac-aarch64 | OK | Feb 01 2025 |
Exports:demoestimate_parametersget_nlllogitplot_forecastresidualssim_svsimulate_parameters
Dependencies:clicolorspacedata.tablefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixMatrixModelsmgcvmnormtmunsellnlmenumDerivpillarpkgconfigquantregR6RColorBrewerRcppRcppEigenrlangscalessnSparseMsurvivaltibbleTMButf8vctrsviridisLitewithr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Run shiny demo | demo |
| Estimate parameters for the stochastic volatility model | estimate_parameters |
| Logit transformation from the real line to (-1, 1). | logit |
| Plot the estimated latent volatility process | plot.stochvolTMB |
| Predict future returns and future volatilities | predict.stochvolTMB |
| Calculate one-step-ahead (OSA) residuals for stochastic volatility model. | residuals |
| Simulate log-returns from a stochastic volatility model | sim_sv |
| Simulate from the asymptotic distribution of the parameter estimates | simulate_parameters |
| Daily closing prices for the S&P500 from 2005 to 2018. | spy |
| Summary tables of model parameters | summary.stochvolTMB |
| Calculate quantiles based on predictions from the predictive distribution | summary.stochvolTMB_predict |
