stochvolTMB
Likelihood Estimation of Stochastic Volatility Models
Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3.0 |
rolling linux/jammy R-4.5 | stochvolTMB_0.3.0.tar.gz |
2.1 MiB |
0.3.0 |
rolling linux/noble R-4.5 | stochvolTMB_0.3.0.tar.gz |
2.1 MiB |
0.3.0 |
rolling source/ R- | stochvolTMB_0.3.0.tar.gz |
1.2 MiB |
0.3.0 |
latest linux/jammy R-4.5 | stochvolTMB_0.3.0.tar.gz |
2.1 MiB |
0.3.0 |
latest linux/noble R-4.5 | stochvolTMB_0.3.0.tar.gz |
2.1 MiB |
0.3.0 |
latest source/ R- | stochvolTMB_0.3.0.tar.gz |
1.2 MiB |
0.3.0 |
2026-04-26 source/ R- | stochvolTMB_0.3.0.tar.gz |
1.2 MiB |
0.3.0 |
2026-04-23 source/ R- | stochvolTMB_0.3.0.tar.gz |
1.2 MiB |
0.3.0 |
2026-04-09 windows/windows R-4.5 | stochvolTMB_0.3.0.zip |
1.7 MiB |
0.3.0 |
2025-04-20 source/ R- | stochvolTMB_0.3.0.tar.gz |
1.2 MiB |