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invgamstochvol  

Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model
View on CRAN: Click here


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
[Scholar Profile | Author Map]
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 08 Apr. 2025.
Previous versions and publish date:
0.1.0 (2023-08-10 11:00)
Other packages that cited invgamstochvol R package
View invgamstochvol citation profile
Other R packages that invgamstochvol depends, imports, suggests or enhances
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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