Likelihood Estimation of Stochastic Volatility Models

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Documentation for package ‘stochvolTMB’ version 0.1.2

Help Pages

demo Run shiny demo
estimate_parameters Estimate parameters for the stochastic volatility model
plot.stochvolTMB Plot estimated latent volatility process
residuals Calculate one-step-ahead (OSA) residuals for stochastic volatility model.
sim_sv Simulate data from the stochastic volatility model
spy Daily closing prices for the S&P500 from 2005 to 2018.
summary.stochvolTMB Summary tables of model parameters