Preface

The front page of the manual

stochvol-package

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Simulation

Sampling routines, simulation, and prediction

svlm()

Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model

svsample() svtsample() svlsample() svtlsample() svsample2()

Markov Chain Monte Carlo (MCMC) Sampling for the Stochastic Volatility (SV) Model

svsample_roll() svtsample_roll() svlsample_roll() svtlsample_roll()

Rolling Estimation of Stochastic Volatility Models

svsample_fast_cpp() svsample_general_cpp()

Bindings to C++ Functions in stochvol

svsim()

Simulating a Stochastic Volatility Process

predict(<svdraws>)

Prediction of Future Returns and Log-Volatilities

Reporting

Plotting, extraction, and summary

plot(<svdraws>)

Graphical Summary of the Posterior Distribution

plot(<svpredict>)

Graphical Summary of the Posterior Predictive Distribution

paradensplot()

Probability Density Function Plot for the Parameter Posteriors

paratraceplot()

Trace Plot of MCMC Draws from the Parameter Posteriors

volplot()

Plotting Quantiles of the Latent Volatilities

updatesummary()

Updating the Summary of MCMC Draws

para() latent0() latent() vola() svbeta() svtau() priors() thinning() runtime() sampled_parameters() predy() predlatent() predvola()

Common Extractors for 'svdraws' and 'svpredict' Objects

Prior Distributions

Specification of prior distributions for the sample routines

specify_priors()

Specify Prior Distributions for SV Models

sv_constant() sv_normal() sv_multinormal() sv_gamma() sv_inverse_gamma() sv_beta() sv_exponential() sv_infinity()

Prior Distributions in stochvol

C++

Documentation for the C++ functions

update_fast_sv()

Single MCMC Update Using Fast SV

update_general_sv()

Single MCMC Update Using General SV

update_regressors()

Single MCMC update of Bayesian linear regression

update_t_error()

Single MCMC update to Student's t-distribution

Expert Settings

Helper functions for the ‘expert’ argument of the sampling routines

get_default_fast_sv() get_default_general_sv() default_fast_sv

Default Values for the Expert Settings

validate_and_process_expert()

Validate and Process Argument 'expert'

Other

Remaining manual pages

exrates

Euro exchange rate data

logret()

Computes the Log Returns of a Time Series