summarize_sv_sigmas

Extracts median volatility paths from the SV component.

Fits Bayesian nonlinear Ornstein-Uhlenbeck models with cubic drift,
stochastic volatility, and Student-t innovations. The package implements
hierarchical priors for sector-specific parameters and supports parallel
MCMC sampling via 'Stan'. Model comparison is performed using Pareto
Smoothed Importance Sampling Leave-One-Out (PSIS-LOO) cross-validation
following Vehtari, Gelman, and Gabry (2017)
<doi:10.1007/s11222-016-9696-4>. Prior specifications follow recommendations
from Gelman (2006) <doi:10.1214/06-BA117A> for scale parameters.

José Mauricio Gómez Julián

bayesianOU

Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic
Volatility

summarize_sv_sigmas function

<dl><dt>fit</dt>
<dd>Fitted Stan model object</dd></dl>

Arguments

Summarize stochastic volatility sigmas — summarize_sv_sigmas

<dl>

<dt>fit</dt>
<dd>Fitted Stan model object</dd>

</dl>

summarize_sv_sigmas: Summarize stochastic volatility sigmas

Description

Usage

Value

Arguments