invgamstochvol

cranv1.0.0

Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model. Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) <http://rcea.org/RePEc/pdf/wp23-11.pdf> . The closed form expression is

License MIT + file LICENSE0 versions1 maintainers1 deps60 weekly dl
https://CRAN.R-project.org/package=invgamstochvol
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First published · 2023-08-18 11:09:29

Last updated · 2023-08-18T07:32:42+00:00