simulate_parameters

Sampling is done on the scale the parameters were estimated. The standard deviations are simulated on log-scale 
and the persistence is simulated on logit scale. The same is true for the correlation parameter in the leverage model.

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>).

Jens Wahl

stochvolTMB

Likelihood Estimation of Stochastic Volatility Models

simulate_parameters function

<dl><dt>object</dt>
<dd>A <code>stochvolTMB</code> object.</dd>
<dt>nsim</dt>
<dd>Number of simulations.</dd></dl>

Arguments

Simulate from the asymptotic distribution of the parameter estimates — simulate_parameters

<dl>

<dt>object</dt>
<dd>A <code>stochvolTMB</code> object.</dd>


<dt>nsim</dt>
<dd>Number of simulations.</dd>

</dl>

simulate_parameters: Simulate from the asymptotic distribution of the parameter estimates

Description

Usage

Value

Arguments