stochvolTMB
Likelihood Estimation of Stochastic Volatility Models
v0.3.0
·
Jan 31, 2025
·
GPL-3
Description
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>).
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
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r-devel-linux-x86_64-debian-clang
*
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r-devel-linux-x86_64-debian-gcc
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r-devel-linux-x86_64-fedora-clang
*
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r-devel-linux-x86_64-fedora-gcc
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r-devel-macos-arm64
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OK
r-devel-windows-x86_64
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r-oldrel-macos-arm64
installed package size
installed size is 47.5Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 45.5Mb
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r-oldrel-macos-x86_64
installed package size
installed size is 46.7Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 44.6Mb
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r-oldrel-windows-x86_64
installed package size
installed size is 14.6Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 12.6Mb
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r-patched-linux-x86_64
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r-release-linux-x86_64
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r-release-macos-arm64
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r-release-macos-x86_64
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r-release-windows-x86_64
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Check History
NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 47.5Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 45.5Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 46.7Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 44.6Mb
NOTE
r-oldrel-windows-x86_64
installed package size
installed size is 14.6Mb
sub-directories of 1Mb or more:
joss_paper 1.2Mb
libs 12.6Mb
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Version History
new
0.3.0
Mar 9, 2026