Likelihood Estimation of Stochastic Volatility Models

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Documentation for package ‘stochvolTMB’ version 0.2.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

demo	Run shiny demo
estimate_parameters	Estimate parameters for the stochastic volatility model
logit	Logit transformation from the real line to (-1, 1).
plot.stochvolTMB	Plot the estimated latent volatility process
predict.stochvolTMB	Predict future returns and future volatilities
residuals	Calculate one-step-ahead (OSA) residuals for stochastic volatility model.
simulate_parameters	Simulate from the asymptotic distribution of the parameter estimates
sim_sv	Simulate log-returns from a stochastic volatility model
spy	Daily closing prices for the S&P500 from 2005 to 2018.
summary.stochvolTMB	Summary tables of model parameters
summary.stochvolTMB_predict	Calculate quantiles based on predictions from the predictive distribution