Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

Gregor Kastner

Papers from arXiv.org

Abstract: The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from the posterior distribution of parameters and latent variables which can then be used for predicting future volatilities. The package can straightforwardly be employed as a stand-alone tool; moreover, it allows for easy incorporation into other MCMC samplers. The main focus of this paper is to show the functionality of stochvol. In addition, it provides a brief mathematical description of the model, an overview of the sampling schemes used, and several illustrative examples using exchange rate data.

Date: 2019-06
New Economics Papers: this item is included in nep-ets
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Published in Journal of Statistical Software, 69(5), 1-30 (2016)

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Journal Article: Dealing with Stochastic Volatility in Time Series Using the R Package stochvol (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1906.12134

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