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Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

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  • Kastner, Gregor

Abstract

The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from the posterior distribution of parameters and latent variables which can then be used for predicting future volatilities. The package can straightforwardly be employed as a stand-alone tool; moreover, it allows for easy incorporation into other MCMC samplers. The main focus of this paper is to show the functionality of stochvol. In addition, it provides a brief mathematical description of the model, an overview of the sampling schemes used, and several illustrative examples using exchange rate data.

Suggested Citation

  • Kastner, Gregor, 2016. "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i05).
  • Handle: RePEc:jss:jstsof:v:069:i05
    DOI: http://hdl.handle.net/10.18637/jss.v069.i05
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    File URL: https://www.jstatsoft.org/index.php/jss/article/downloadSuppFile/v069i05/v69i05.R
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    References listed on IDEAS

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    1. Frühwirth-Schnatter, Sylvia & Wagner, Helga, 2010. "Stochastic model specification search for Gaussian and partial non-Gaussian state space models," Journal of Econometrics, Elsevier, vol. 154(1), pages 85-100, January.
    2. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
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    Cited by:

    1. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
    2. Florian Huber, 2018. "Dealing with cross-country heterogeneity in panel VARs using finite mixture models," Papers 1804.01554, arXiv.org.
    3. repec:wiw:wiwwuw:wuwp261 is not listed on IDEAS
    4. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
    5. Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Papers 1801.02925, arXiv.org.
    6. repec:wiw:wus005:6246 is not listed on IDEAS

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