Likelihood Estimation of Stochastic Volatility Models

Documentation for package ‘stochvolTMB’ version 0.4.0

backtest_var	Backtest Value at Risk and Expected Shortfall
coef.stochvolTMB	Extract parameter estimates and their covariance matrix
compare_models	Fit several models and compare them
estimate_parameters	Estimate parameters for the stochastic volatility model
forecast_var_es	Value at Risk and Expected Shortfall for several days ahead
logit	Logit transformation from the real line to (-1, 1).
plot.stochvolTMB	Plot the estimated latent volatility process
plot_diagnostics	Diagnostic plots based on one-step-ahead residuals
plot_returns	Plot returns with bands from the fitted model
plot_var	Plot returns with the one-step-ahead Value at Risk
predict.stochvolTMB	Predict future returns and future volatilities
residuals.stochvolTMB	Calculate one-step-ahead (OSA) residuals for stochastic volatility model.
run_shiny_demo	Run the shiny demo
simulate_parameters	Simulate from the asymptotic distribution of the parameter estimates
sim_sv	Simulate log-returns from a stochastic volatility model
spy	Daily closing prices for the S&P500 from 2005 to 2018.
summary.stochvolTMB	Summary tables of model parameters
summary.stochvolTMB_predict	Calculate quantiles based on predictions from the predictive distribution
var_es	One-step-ahead Value at Risk and Expected Shortfall
vcov.stochvolTMB	Extract parameter estimates and their covariance matrix