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ASV (version 1.1.4)

Stochastic Volatility Models with or without Leverage

Description

The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.

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Version

Install

install.packages('ASV')

Monthly Downloads

251

Version

1.1.4

License

GPL (>= 2)

Maintainer

Yasuhiro Omori

Last Published

February 15th, 2024

Functions in ASV (1.1.4)

ReportMCMC

Summary statistics, diagnostic statistics and plots.
asv_posterior

Compute the logarithm of the posterior density for the stochastic volatility models with leverage
sv_apf

Auxiliary particle filter for stochastic volatility models without leverage
asv_apf

Auxiliary particle filter for stochastic volatility models with leverage
asv_prior

Compute the logarithm of the prior density for the stochastic volatility models with leverage
sv_posterior

Compute the logarithm of the posterior density for the stochastic volatility models without leverage
asv_pf

Particle filter for stochastic volatility models with leverage
asv_mcmc

MCMC estimation for stochastic volatility models with leverage
ASV-package

tools:::Rd_package_title("ASV")
sv_mcmc

MCMC estimation for stochastic volatility models without leverage
asv_logML

Compute the logarithm of the marginal likelihood for the stochastic volatility models with leverage
sv_logML

Compute the logarithm of the marginal likelihood for the stochastic volatility models without leverage
sv_prior

Compute the logarithm of the prior density for the stochastic volatility models without leverage
sv_pf

Particle filter for stochastic volatility models without leverage