Efficient Bayesian Inference for Stochastic Volatility (SV) Models

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Documentation for package ‘stochvol’ version 3.2.4

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

stochvol-package	Efficient Bayesian Inference for Stochastic Volatility (SV) Models
default_fast_sv	Default Values for the Expert Settings
exrates	Euro exchange rate data
extractors	Common Extractors for 'svdraws' and 'svpredict' Objects
get_default_fast_sv	Default Values for the Expert Settings
get_default_general_sv	Default Values for the Expert Settings
latent	Common Extractors for 'svdraws' and 'svpredict' Objects
latent0	Common Extractors for 'svdraws' and 'svpredict' Objects
logret	Computes the Log Returns of a Time Series
logret.default	Computes the Log Returns of a Time Series
observations	Common Extractors for 'svdraws' and 'svpredict' Objects
para	Common Extractors for 'svdraws' and 'svpredict' Objects
paradensplot	Probability Density Function Plot for the Parameter Posteriors
paratraceplot	Trace Plot of MCMC Draws from the Parameter Posteriors
paratraceplot.svdraws	Trace Plot of MCMC Draws from the Parameter Posteriors
plot.svdraws	Graphical Summary of the Posterior Distribution
plot.svpredict	Graphical Summary of the Posterior Predictive Distribution
predict.svdraws	Prediction of Future Returns and Log-Volatilities
predlatent	Common Extractors for 'svdraws' and 'svpredict' Objects
predvola	Common Extractors for 'svdraws' and 'svpredict' Objects
predy	Common Extractors for 'svdraws' and 'svpredict' Objects
priors	Common Extractors for 'svdraws' and 'svpredict' Objects
runtime	Common Extractors for 'svdraws' and 'svpredict' Objects
sampled_parameters	Common Extractors for 'svdraws' and 'svpredict' Objects
specify_priors	Specify Prior Distributions for SV Models
stochvol	Efficient Bayesian Inference for Stochastic Volatility (SV) Models
svbeta	Common Extractors for 'svdraws' and 'svpredict' Objects
svlm	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svlsample	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svlsample_roll	Rolling Estimation of Stochastic Volatility Models
svsample	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svsample2	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svsample_fast_cpp	Bindings to 'C++' Functions in 'stochvol'
svsample_general_cpp	Bindings to 'C++' Functions in 'stochvol'
svsample_roll	Rolling Estimation of Stochastic Volatility Models
svsim	Simulating a Stochastic Volatility Process
svtau	Common Extractors for 'svdraws' and 'svpredict' Objects
svtlsample	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svtlsample_roll	Rolling Estimation of Stochastic Volatility Models
svtsample	Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model
svtsample_roll	Rolling Estimation of Stochastic Volatility Models
sv_beta	Prior Distributions in 'stochvol'
sv_constant	Prior Distributions in 'stochvol'
sv_exponential	Prior Distributions in 'stochvol'
sv_gamma	Prior Distributions in 'stochvol'
sv_infinity	Prior Distributions in 'stochvol'
sv_inverse_gamma	Prior Distributions in 'stochvol'
sv_multinormal	Prior Distributions in 'stochvol'
sv_normal	Prior Distributions in 'stochvol'
thinning	Common Extractors for 'svdraws' and 'svpredict' Objects
updatesummary	Updating the Summary of MCMC Draws
update_fast_sv	Single MCMC Update Using Fast SV
update_general_sv	Single MCMC Update Using General SV
update_regressors	Single MCMC update of Bayesian linear regression
update_t_error	Single MCMC update to Student's t-distribution
validate_and_process_expert	Validate and Process Argument 'expert'
vola	Common Extractors for 'svdraws' and 'svpredict' Objects
volplot	Plotting Quantiles of the Latent Volatilities