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LICENSE | ||
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MANIFEST | ||
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META.yml | ||
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README.md | ||
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StochasticVolatility.bi | ||
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VERSION.md | ||
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config.conf | ||
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init.sh | ||
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posterior.conf | ||
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posterior_sir.conf | ||
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run.sh | ||
./run.sh
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).