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>). The observation error can
be Gaussian, t, skew-Gaussian or skew t (Jones and Faddy (2003) <doi:10.1111/1467-9868.00378>), with or without
leverage. Exact one-step-ahead residuals, Value at Risk and Expected Shortfall are calculated with a filter on a
grid for the log-volatility, and the Value at Risk can be backtested with the tests of Kupiec (1995)
<doi:10.3905/jod.1995.407942> and Christoffersen (1998) <doi:10.2307/2527341>.
| Version: |
0.4.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
TMB, ggplot2 (≥ 3.4.0), sn, stats, utils, data.table, MASS |
| LinkingTo: |
RcppEigen, TMB |
| Suggests: |
testthat (≥ 2.1.0), shiny, knitr, rmarkdown, stochvol |
| Published: |
2026-11-07 |
| DOI: |
10.32614/CRAN.package.stochvolTMB |
| Author: |
Jens Wahl [aut, cre] |
| Maintainer: |
Jens Wahl <jens.c.wahl at gmail.com> |
| BugReports: |
https://github.com/JensWahl/stochvolTMB/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/JensWahl/stochvolTMB,
https://jenswahl.github.io/stochvolTMB/ |
| NeedsCompilation: |
yes |
| Materials: |
README, NEWS |
| CRAN checks: |
stochvolTMB results |
Documentation:
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