Package: stochvol 3.2.5

Darjus Hosszejni

stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) <doi:10.1016/j.csda.2013.01.002> and Hosszejni and Kastner (2019) <doi:10.1007/978-3-030-30611-3_8>; the most common use cases are described in Hosszejni and Kastner (2021) <doi:10.18637/jss.v100.i12> and Kastner (2016) <doi:10.18637/jss.v069.i05> and the package examples.

Authors:Darjus Hosszejni [aut, cre], Gregor Kastner [aut]

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stochvol.pdf |stochvol.html✨
stochvol/json (API)
NEWS

# Install 'stochvol' in R:
install.packages('stochvol', repos = c('https://gregorkastner.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/gregorkastner/stochvol/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

8.07 score 15 stars 8 packages 84 scripts 1.3k downloads 48 exports 4 dependencies

Last updated 26 days agofrom:30c2e52000. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 28 2024
R-4.5-win-x86_64OKOct 28 2024
R-4.5-linux-x86_64OKOct 28 2024
R-4.4-win-x86_64OKOct 28 2024
R-4.4-mac-x86_64OKOct 28 2024
R-4.4-mac-aarch64OKOct 28 2024
R-4.3-win-x86_64OKOct 28 2024
R-4.3-mac-x86_64OKOct 28 2024
R-4.3-mac-aarch64OKOct 28 2024

Exports:default_fast_svget_default_fast_svget_default_general_svlatentlatent0logretparaparadensplotparatraceplotpredlatentpredvolapredypriorsruntimesampled_parametersspecify_priorssv_betasv_constantsv_exponentialsv_gammasv_infinitysv_inverse_gammasv_multinormalsv_normalsvbetasvlmsvlsamplesvlsample_rollsvsamplesvsample_fast_cppsvsample_general_cppsvsample_rollsvsample2svsimsvtausvtlsamplesvtlsample_rollsvtsamplesvtsample_rollthinningupdate_fast_svupdate_general_svupdate_regressorsupdate_t_errorupdatesummaryvalidate_and_process_expertvolavolplot

Dependencies:codalatticeRcppRcppArmadillo

Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

Rendered fromarticle.Rnwusingknitr::knitron Oct 28 2024.

Last update: 2021-05-19
Started: 2018-01-10

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

Rendered fromarticle2.Rnwusingknitr::knitron Oct 28 2024.

Last update: 2021-11-29
Started: 2020-10-30

Readme and manuals

Help Manual

Help pageTopics
Efficient Bayesian Inference for Stochastic Volatility (SV) Modelsstochvol-package stochvol
Euro exchange rate dataexrates
Common Extractors for 'svdraws' and 'svpredict' Objectsextractors latent latent0 observations para predlatent predvola predy priors runtime sampled_parameters svbeta svtau thinning vola
Default Values for the Expert Settingsdefault_fast_sv get_default_fast_sv get_default_general_sv
Computes the Log Returns of a Time Serieslogret logret.default
Probability Density Function Plot for the Parameter Posteriorsparadensplot
Trace Plot of MCMC Draws from the Parameter Posteriorsparatraceplot
Trace Plot of MCMC Draws from the Parameter Posteriorsparatraceplot.svdraws
Graphical Summary of the Posterior Distributionplot.svdraws
Graphical Summary of the Posterior Predictive Distributionplot.svpredict
Prediction of Future Returns and Log-Volatilitiespredict.svdraws
Specify Prior Distributions for SV Modelsspecify_priors
Prior Distributions in 'stochvol'sv_beta sv_constant sv_exponential sv_gamma sv_infinity sv_inverse_gamma sv_multinormal sv_normal
Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Modelsvlm
Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Modelsvlsample svsample svsample2 svtlsample svtsample
Bindings to 'C++' Functions in 'stochvol'svsample_fast_cpp svsample_general_cpp
Rolling Estimation of Stochastic Volatility Modelssvlsample_roll svsample_roll svtlsample_roll svtsample_roll
Simulating a Stochastic Volatility Processsvsim
Single MCMC Update Using Fast SVupdate_fast_sv
Single MCMC Update Using General SVupdate_general_sv
Single MCMC update of Bayesian linear regressionupdate_regressors
Single MCMC update to Student's t-distributionupdate_t_error
Updating the Summary of MCMC Drawsupdatesummary
Validate and Process Argument 'expert'validate_and_process_expert
Plotting Quantiles of the Latent Volatilitiesvolplot