Quotation Hosszejni, Darjus, Kastner, Gregor. 2019. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol.


RIS


BibTeX

Abstract

Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivial and software that allows to easily fit SV models to data is rare. We aim to alleviate this issue by presenting novel implementations of four SV models delivered in two R packages. Several unique features are included and documented. As opposed to previous versions, stochvol is now capable of handling linear mean models, heavy-tailed SV, and SV with leverage. Moreover, we newly introduce factorstochvol which caters for multivariate SV. Both packages offer a user-friendly interface through the conventional R generics and a range of tailor-made methods. Computational efficiency is achieved via interfacing R to C++ and doing the heavy work in the latter. In the paper at hand, we provide a detailed discussion on Bayesian SV estimation and showcase the use of the new software through various examples.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Year 2019
URL https://arxiv.org/abs/1906.12123v3

Associations

People
Hosszejni, Darjus (Details)
Kastner, Gregor (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
Google Scholar: Search