summary.stochvolTMB

Extract parameters, transformed parameters and latent log volatility along with standard error, z-value and p-value

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

summary.stochvolTMB function

<dl><dt>object</dt>
<dd>A <code>stochvolTMB</code> object.</dd>
<dt>...</dt>
<dd>Currently not used.</dd>
<dt>report</dt>
<dd>Parameters to report with uncertainty estimates. Can be any subset of "fixed", "transformed" or 
"random" (see summary.sdreport). "fixed" 
report the parameters on the scale they were estimated, for example are all standard deviations estimated on 
log scale. "transformed" report all transformed parameters, for example estimated standard deviations 
transformed from log scale by taking the exponential. Lastly, "random"
report the estimated latent log-volatility.</dd></dl>

Arguments

Summary tables of model parameters — summary.stochvolTMB

<dl>

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


<dt>...</dt>
<dd>Currently not used.</dd>


<dt>report</dt>
<dd>Parameters to report with uncertainty estimates. Can be any subset of "fixed", "transformed" or 
"random" (see summary.sdreport). "fixed" 
report the parameters on the scale they were estimated, for example are all standard deviations estimated on 
log scale. "transformed" report all transformed parameters, for example estimated standard deviations 
transformed from log scale by taking the exponential. Lastly, "random"
report the estimated latent log-volatility.</dd>

</dl>

summary.stochvolTMB: Summary tables of model parameters

Description

Usage

Value

Arguments