Martin Lysy
Description
Provides various tools for estimating the parameters of the common-factor multivariate stochastic volatility model of Fang et al (2020) and extensions. In particular, the complete-data likelihood implementation scales linearly in the number of assets, and latent volatilities are efficiently marginalized using the Laplace approximation in the R package TMB with very high accuracy. Combined with a carefully initialized block coordinate descent algorithm, maximum likelihood estimation can be conducted two orders of magnitude faster than with alternative parameter inference algorithms.
Installation
Install the R package devtools and run
devtools::install_github("mlysy/svcommon", INSTALL_opts = "--install-tests")Usage
Please see package example code in vignette("svcommon").
