stochvolTMB

0.3.0

Likelihood Estimation of Stochastic Volatility Models

0packages depend

3.4Kdownloads / year

66.3%test coverage

13/13checks pass

Overview

About

Maintained by Jens WahlFirst published 2020-09-025 releasesCRAN page ↗GitHub ↗

Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) doi:10.18637/jss.v070.i05).

Install

R (CRAN)pak (dev)Ubuntu (r2u)openSUSE (OBS)

install.packages("stochvolTMB", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("JensWahl/stochvolTMB")

Development version from JensWahl/stochvolTMB. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-stochvoltmb

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-stochvolTMB

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 4.4 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.29

66.3%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-03-10
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 230 wordsVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 0%
Documented parameters: 91%
Return-value docs: 75%
References docs: 8%

Downloads

3.4K

CRAN downloads in the past year

Rank #12,134 · ~9/day · ~283/mo

Releases R versions

Daily download trend is not available in this view yet.

29630 days

85790 days

3.4K1 year

Compare downloads with other packages →

Also on407 r2u16 autocran

Repository

GitHub ↗ jenswahl/stochvoltmb

8Stars

1Forks

1Open issues

0Open PRs

3Releases

181Commits

4Contributors

License GPL-3.0 · 181 commits · Last activity 2026-01-27

Stars over time

2023-01-16 · 82026-07-07 · 8

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 4 families in the upstream repository

Checks run against github.com/jenswahl/stochvoltmb on 2026-07-19.

Continuous integration (1)

GitHub Actions

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Lint, format, editor (2)

lintrRStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (6)

TMB ggplot2 snstatsdata.tableMASS

LinkingTo (2)

RcppEigen TMB

Suggests (5)

testthat shiny knitr rmarkdown stochvol

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Jens Wahl

Author, Maintainer · added in 0.3.0

Authors (1)

Jens Wahl

Author, Maintainer · added in 0.3.0

Listed in earlier versions (1)

Jens Christian Wahl

no longer listed · 0.1.0 to 0.2.0

Package Timeline

5 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
0.3.0Latest
2025-01-31 · current release · diff ↗
unarchivedReturned to CRAN
2025-01-31
archivedRemoved from CRAN
2024-11-11
issues were not corrected despite reminders
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
0.2.0
2021-08-13 · diff ↗
R
R 4.1.0 released · 2021-05-18
0.1.2
2020-09-04 · diff ↗
0.1.1
2020-09-02 · diff ↗
0.1.0
2020-09-02
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2020-09-02
Total releases: 5 / 6 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.5.0
Bundled data: 47 KB / 1 file
Download size: 1.3 MB
Installed size: not tracked yet
With dependencies: not tracked yet

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