Package: stochvolTMB
Type: Package
Title: Likelihood Estimation of Stochastic Volatility Models
Version: 0.4.0
Date: 2026-11-06
Authors@R: person("Jens", "Wahl", role = c("aut", "cre"), email = "jens.c.wahl@gmail.com")
Description: Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is 
    integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model
    Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>). The observation error can
    be Gaussian, t, skew-Gaussian or skew t (Jones and Faddy (2003) <doi:10.1111/1467-9868.00378>), with or without
    leverage. Exact one-step-ahead residuals, Value at Risk and Expected Shortfall are calculated with a filter on a
    grid for the log-volatility, and the Value at Risk can be backtested with the tests of Kupiec (1995)
    <doi:10.3905/jod.1995.407942> and Christoffersen (1998) <doi:10.2307/2527341>.
License: GPL-3
Depends: R (>= 3.5.0)
Imports: TMB, ggplot2 (>= 3.4.0), sn, stats, utils, data.table, MASS
LinkingTo: RcppEigen, TMB
Suggests: testthat (>= 2.1.0), shiny, knitr, rmarkdown, stochvol
URL: https://github.com/JensWahl/stochvolTMB,
        https://jenswahl.github.io/stochvolTMB/
BugReports: https://github.com/JensWahl/stochvolTMB/issues
Encoding: UTF-8
LazyData: true
VignetteBuilder: knitr
Config/roxygen2/version: 8.0.0
NeedsCompilation: yes
Packaged: 2026-11-07 05:00:54 UTC; jenswahl
Author: Jens Wahl [aut, cre]
Maintainer: Jens Wahl <jens.c.wahl@gmail.com>
Repository: CRAN
Date/Publication: 2026-11-07 12:10:02 UTC
