Efficient Bayesian Inference for Stochastic Volatility (SV) Models


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Documentation for package ‘stochvol’ version 2.0.1

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stochvol-package Efficient Bayesian Inference for Stochastic Volatility (SV) Models
arpredict Dynamic prediction for the AR-SV model (deprecated)
exrates Euro exchange rate data
extractors Common Extractors for 'svdraws' Objects
latent Common Extractors for 'svdraws' Objects
latent0 Common Extractors for 'svdraws' Objects
logret Computes (de-meaned) log returns.
para Common Extractors for 'svdraws' Objects
paradensplot Probability Density Function Plot for the Parameter Posteriors
paratraceplot Trace Plot of MCMC Draws from the Parameter Posteriors
plot.svdraws Graphical Summary of the Posterior Distribution
plot.svldraws Graphical Summary of the Posterior Distribution
plot.svlpredict Graphical Summary of the Posterior Predictive Distribution
plot.svpredict Graphical Summary of the Posterior Predictive Distribution
predict.svdraws Prediction of Future Returns and Log-Volatilities
predict.svldraws Prediction of Future Returns and Log-Volatilities
priors Common Extractors for 'svdraws' Objects
runtime Common Extractors for 'svdraws' Objects
stochvol Efficient Bayesian Inference for Stochastic Volatility (SV) Models
svlsample Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility Model with Leverage (SVL)
svlsample2 Minimal overhead version of 'svlsample'.
svsample Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svsample2 Minimal overhead version of 'svsample'.
svsim Simulating a Stochastic Volatility Process
thinning Common Extractors for 'svdraws' Objects
updatesummary Updating the Summary of MCMC Draws
volplot Plotting Quantiles of the Latent Volatilities