Stochastic volatility model for LibBi.
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LICENSE
MANIFEST
META.yml
README.md
StochasticVolatility.bi
VERSION.md
config.conf
init.sh
posterior.conf
posterior_sir.conf
run.sh

README.md

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