Package: invgamstochvol 1.0.0

invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model

Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) <http://rcea.org/RePEc/pdf/wp23-11.pdf> . The closed form expression is obtained for a stationary inverse gamma stochastic volatility model by marginalising out the volatility. This allows the user to obtain the maximum likelihood estimator for this non linear non Gaussian state space model. In addition, the user can obtain the estimates of the smoothed volatility using the exact smoothing distributions.

Authors:Leon Gonzalez [aut, cph], Blessings Majoni [aut, cre]

invgamstochvol_1.0.0.tar.gz
invgamstochvol_1.0.0.zip(r-4.7)invgamstochvol_1.0.0.zip(r-4.6)invgamstochvol_1.0.0.zip(r-4.5)
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invgamstochvol_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
invgamstochvol/json (API)
NEWS

# Install 'invgamstochvol' in R:
install.packages('invgamstochvol', repos = c('https://blessingsmajoni.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • US_Inf_Data - Data to use in the invgamstochvol package

On CRAN:

Conda:

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

cppopenmp

2.00 score 2 scripts 142 downloads 3 exports 2 dependencies

Last updated from:387c716290. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK125
linux-devel-x86_64OK130
source / vignettesOK168
linux-release-arm64OK126
linux-release-x86_64OK120
macos-release-arm64OK459
macos-release-x86_64OK331
macos-oldrel-arm64OK133
macos-oldrel-x86_64OK303
windows-develOK114
windows-releaseOK156
windows-oldrelOK130
wasm-releaseOK113

Exports:DrawK0lik_cloourgeo

Dependencies:RcppRcppArmadillo

A Tutorial for invgamstochvol package

Blessings Majoni^[National Graduate Institute for Policy Studies, [email protected]], Roberto Leon Gonzalez^[National Graduate Institute for Policy Studies, [email protected]]

Rendered frominvgamstochvol.Rmdusingknitr::rmarkdownon May 28 2026.

Last update: 2023-08-10
Started: 2023-08-10