Initialize latent volatilities in a stochastic volatility model.

Initialize latent volatilities in a stochastic volatility model.

sv_init(Xt, dt, block_size)

Arguments

Xt

Vector of log-prices.

dt

Interobservation time.

block_size

Block size over which to calculate variance.

Value

A vector of volatilities on the standard deviation scale, of the same length as Xt.