Package: SVDNF 0.1.11

Louis Arsenault-Mahjoubi

SVDNF: Discrete Nonlinear Filtering for Stochastic Volatility Models

Implements the discrete nonlinear filter (DNF) of Kitagawa (1987) <doi:10.1080/01621459.1987.10478534> to a wide class of stochastic volatility (SV) models with return and volatility jumps following the work of Bégin and Boudreault (2021) <doi:10.1080/10618600.2020.1840995> to obtain likelihood evaluations and maximum likelihood parameter estimates. Offers several built-in SV models and a flexible framework for users to create customized models by specifying drift and diffusion functions along with an arrival distribution for the return and volatility jumps. Allows for the estimation of factor models with stochastic volatility (e.g., heteroskedastic volatility CAPM) by incorporating expected return predictors. Also includes functions to compute filtering and prediction distribution estimates, to simulate data from built-in and custom SV models with jumps, and to forecast future returns and volatility values using Monte Carlo simulation from a given SV model.

Authors:Louis Arsenault-Mahjoubi [aut, cre], Jean-François Bégin [aut], Mathieu Boudreault [aut]

SVDNF_0.1.11.tar.gz
SVDNF_0.1.11.tar.gz(r-4.5-noble)SVDNF_0.1.11.tar.gz(r-4.4-noble)
SVDNF_0.1.11.tgz(r-4.4-emscripten)SVDNF_0.1.11.tgz(r-4.3-emscripten)
SVDNF.pdf |SVDNF.html
SVDNF/json (API)

# Install 'SVDNF' in R:
install.packages('SVDNF', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.48 score 1 scripts 461 downloads 6 exports 4 dependencies

Last updated 1 days agofrom:6c8ef7ca58. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKOct 29 2024
R-4.5-linux-x86_64OKOct 29 2024

Exports:DNFDNFOptimdynamicsSVMextractVolPercmodelSimpars

Dependencies:latticeRcppxtszoo

SVDNF R package Discrete Nonlinear Filtering for Stochastic Volatility Models

Rendered fromvignette.pdf.asisusingR.rsp::asison Oct 29 2024.

Last update: 2024-10-05
Started: 2024-10-05