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invgamstochvol
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Download and install invgamstochvol package within the R console
Install from CRAN:
install.packages("invgamstochvol")
Install from Github:
library("remotes")
install_github("cran/invgamstochvol")
Install by package version:
library("remotes")
install_version("invgamstochvol", "1.0.0")
Attach the package and use:
library("invgamstochvol")
Maintained by
Blessings Majoni
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First Published: 2023-08-10
Latest Update: 2023-08-18
Description:
Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) .
The closed form expression is obtained for a stationary inverse gamma stochastic volatility model by marginalising out the volatility. This allows the user to obtain the maximum likelihood estimator for this non linear non Gaussian state space model. In addition, the user can obtain the estimates of the smoothed volatility using the exact smoothing distributions.
How to cite:
Blessings Majoni (2023). invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model. R package version 1.0.0, https://cran.r-project.org/web/packages/invgamstochvol. Accessed 28 Jan. 2025.
Previous versions and publish date:
0.1.0 (2023-08-10 11:00)
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Complete documentation for invgamstochvol
Functions, R codes and Examples using
the invgamstochvol R package
Some associated functions: DrawK0 . US_Inf_Data . extra . lik_clo . ourgeo .
Some associated R codes: RcppExports.R . data.R . Full invgamstochvol package functions and examples
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