Skip to content
master
Switch branches/tags
Code

Latest commit

 

Git stats

Files

Permalink
Failed to load latest commit information.
Type
Name
Latest commit message
Commit time
 
 
oct
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

LibBi package: StochasticVolatility

Synopsis

./run.sh

Description

The model is given by:

The package includes 3 years of daily Standard & Poors 500 log returns from 12 January 2002 to 30 December 2005, obtained from Yahoo Finance. The same range of data was used in Andrieu, Doucet & Holenstein (2010).

References

About

Stochastic volatility model for LibBi.

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published