stochvol-package |
Efficient Bayesian Inference for Stochastic Volatility (SV) Models |
.svsample |
Minimal overhead version of 'svsample'. |
arpredict |
Dynamic prediction for the AR-SV model |
exrates |
Euro exchange rate data |
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 |
predict.svdraws |
Prediction of Future Log-Volatilities |
priors |
Common Extractors for 'svdraws' Objects |
runtime |
Common Extractors for 'svdraws' Objects |
stochvol |
Efficient Bayesian Inference for Stochastic Volatility (SV) Models |
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 |