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

Kastner, Gregor (2016) Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. Journal of Statistical Software, 69 (5). pp. 1-30. ISSN 1548-7660

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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. (author's abstract)

Item Type: Article
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Gertraud Novotny
Date Deposited: 26 Feb 2016 15:08
Last Modified: 26 Feb 2016 16:19
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/69935/
URI: http://epub.wu.ac.at/id/eprint/4890

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