stochvolTMB

cranv0.3.0

Likelihood Estimation of Stochastic Volatility Models. 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

License GPL-3strong copyleft0 versions1 maintainers6 deps93 weekly dl
JensWahl/stochvolTMB
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5/25
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25/25
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6/15
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2/15
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Dependencies (6)
TMBggplot2snstatsdata.tableMASS
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First published · 2025-01-31 09:52:35

Last updated · 2025-01-31T08:30:02+00:00

stochvolTMB — Health Score 38/100 | DepScope