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stochvol (version 1.1.3)
Efficient Bayesian Inference for Stochastic Volatility (SV) Models
Description
Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods.
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Install
install.packages('stochvol')
Monthly Downloads
1,837
Version
1.1.3
License
GPL (>= 2)
Maintainer
Gregor Kastner
Last Published
June 30th, 2015
Functions in stochvol (1.1.3)
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svsample2
Minimal overhead version of
svsample
.
paradensplot
Probability Density Function Plot for the Parameter Posteriors
svsim
Simulating a Stochastic Volatility Process
updatesummary
Updating the Summary of MCMC Draws
volplot
Plotting Quantiles of the Latent Volatilities
predict.svdraws
Prediction of Future Log-Volatilities
logret
Computes (de-meaned) log returns.
plot.svdraws
Graphical Summary of the Posterior Distribution
svsample
Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
Extractors
Common Extractors for 'svdraws' Objects
paratraceplot
Trace Plot of MCMC Draws from the Parameter Posteriors
exrates
Euro exchange rate data
stochvol-package
Efficient Bayesian Inference for Stochastic Volatility (SV) Models