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factorstochvol (version 1.1.0)

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Description

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving . Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix .

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Install

install.packages('factorstochvol')

Monthly Downloads

534

Version

1.1.0

License

GPL (>= 2)

Maintainer

Gregor Kastner

Last Published

November 24th, 2023

Functions in factorstochvol (1.1.0)

print.fsvdraws

Pretty printing of an fsvsdraws object
runningcormat

Extract summary statistics for the posterior correlation matrix which have been stored during sampling
expweightcov

Computes the empirical exponentially weighted covariance matrix
predh

Predicts factor and idiosyncratic log-volatilities h
ledermann

Ledermann bound for the number of factors
runningcovmat

Extract summary statistics for the posterior covariance matrix which have been stored during sampling
predcov

Predicts covariance matrix
fsvsim

Simulate data from a factor SV model
logret

Compute the log returns of a vector-valued time series
logvartimeplot

Plot log-variances over time.
facloadcredplot

Displays bivariate marginal posterior distribution of factor loadings.
facloaddensplot

Density plots of factor loadings draws
predloglik

Evaluates the predictive log likelihood using the predicted covariance matrix
fsvsample

Markov Chain Monte Carlo (MCMC) Sampling for the Factor Stochastic Volatility Model.
findrestrict

Ad-hoc method for (weakly) identifying the factor loadings matrix
signident

A posteriori sign identification
predloglikWB

Evaluates the predictive log likelihood using the Woodbury identity
voltimeplot

Plot series-specific volatilities over time.
orderident

A posteriori factor order identification
plotalot

Several factor SV plots useful for model diagnostics
preorder

Ad-hoc methods for determining the order of variables
plot.fsvdraws

Default factor SV plot
paratraceplot

Trace plots of parameter draws.
predcor

Predicts correlation matrix
predprecWB

Predicts precision matrix and its determinant (Woodbury variant)
predcond

Predicts means and variances conditionally on the factors
corplot

Plots pairwise correlations over time
comtimeplot

Plot communalities over time.
cortimeplot

Plot correlations over time.
covelement

Extract "true" model-implied covariances of two series only
cormat

Generic extraction of correlation matrix
facloadtraceplot

Trace plots of factor loadings draws
covmat.fsvsim

Extract "true" model-implied covariance matrix for several points in time
cormat.fsvsim

Extract "true" model-implied correlation matrix for several points in time
covmat

Generic extraction of covariance matrix
corimageplot

Plot correlation matrices for certain points in time
corelement

Extract "true" model-implied correlations of two series only
cormat.fsvdraws

Extract posterior draws of the model-implied correlation matrix
facloadpairplot

Displays bivariate marginal posterior distributions of factor loadings.
factorstochvol-package

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models through MCMC
covmat.fsvdraws

Extract posterior draws of the model-implied covariance matrix
facloadpointplot

Displays point estimates of the factor loadings posterior.
evdiag

Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)