Skip to content

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

License

Notifications You must be signed in to change notification settings

nickpoison/Stochastic-Volatility-Models

Repository files navigation

Stochastic-Volatility-Models







R Code to accompany the Sept 2020 and final version of

A Note on Efficient Fitting of Stochastic Volatility Models

The paper has been published online: jtsa.12561

  • The data are in the folder data and are compressed R data files.
  • The various PGAS files are in the folder R ... these are sourced in the files used to run the examples.
  • Each example is identified by starting with run_ and then a self describing title. You just run the code, it will call the data file and PGAS procedure as needed.
  • Added an example from stochvol R package, but the essential part of the code is in one of the vignettes.

You'll need the following R packages to run all the code:

  • astsa
  • plyr
  • MASS
  • mcmc
  • stochvol (needed only to run their example, figure 2)



The bibTeX entry for the current version is:

@article{doi:10.1111/jtsa.12561,
author = {Gong, Chen and Stoffer, David S.},
title = {A Note on Efficient Fitting of Stochastic Volatility Models},
journal = {Journal of Time Series Analysis},
year = {2021},
volume = {42},
number = {2},
pages = {186-200},
keywords = {Ancestral sampling, efficient Markov chain Monte Carlo, particle Gibbs, stochastic volatility},
doi = {10.1111/jtsa.12561},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jtsa.12561},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12561},
}

And plain text is

Gong, C. and Stoffer, D.S. (2021), A Note on Efficient Fitting of Stochastic Volatility Models. 
          J. Time Ser. Anal., 42: 186-200. https://doi.org/10.1111/jtsa.12561

For the bibTeX item to the code here, I used the following:

@misc{GitGongStoffer2020,
author = {Gong, Chen and Stoffer, David S.},
title = {{Stochastic Volatility Models}},
howpublished = "\url{https://github.com/nickpoison/Stochastic-Volatility-Models/}",
month = {09},
year = {2020}, 
note = "[GitHub Repository]"
}  

About

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

Topics

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages