Skip to content
Prev 2122 / 15274 Next
Original Raw

where do I find stochastic volatilities models in R or Matlab?

Michael 
Hi all,

Does anybody have the source code of stochastic volatility models in R
or Matlab, for example, the Bayesian based or the simulation based SV
estimations as described by Prof Eric Zivot in the following
discussion?

https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html

--------------

I am wondering what is the current status of estimating stochastic vol
models and what's the latest development -- which technique is
currently the best method, Bayesian methods or the simualation based
methods, or others?

Thanks a lot!

Thread (4 messages)

Michael where do I find stochastic volatilities models in R or Matlab? Feb 6 Brian G. Peterson where do I find stochastic volatilities models in R or Matlab? Feb 7 Michael where do I find stochastic volatilities models in R or Matlab? Feb 7 Brian G. Peterson where do I find stochastic volatilities models in R or Matlab? Feb 8