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factorstochvol  

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
View on CRAN: Click here


Download and install factorstochvol package within the R console
Install from CRAN:
install.packages("factorstochvol")

Install from Github:
library("remotes")
install_github("cran/factorstochvol")

Install by package version:
library("remotes")
install_version("factorstochvol", "1.1.0")



Attach the package and use:
library("factorstochvol")
Maintained by
Gregor Kastner
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-08-31
Latest Update: 2023-11-24
Description:
Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving . Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix .
How to cite:
Gregor Kastner (2016). factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models. R package version 1.1.0, https://cran.r-project.org/web/packages/factorstochvol. Accessed 25 Jun. 2026.
Previous versions and publish date:
0.8.1 (2016-08-31 08:39), 0.8.2 (2016-09-20 13:01), 0.8.3 (2016-12-31 17:21), 0.9.2 (2019-06-27 11:50), 0.9.3 (2019-10-06 16:10), 0.9 (2019-02-01 15:23), 0.10.0 (2020-11-09 11:20), 0.10.1 (2020-11-13 23:40), 0.10.2 (2021-02-09 19:10), 1.0.0 (2021-11-29 12:40), 1.0.1 (2021-12-07 10:00), 1.0.2 (2023-09-09 23:30), 1.0.6 (2023-10-12 16:30), 1.1.0 (2023-11-24 12:30), 1.1.1 (2026-03-02 11:10)
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Complete documentation for factorstochvol
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