Package index • stochvolTMB

All functions

backtest_var(): Backtest Value at Risk and Expected Shortfall
coef(<stochvolTMB>) vcov(<stochvolTMB>): Extract parameter estimates and their covariance matrix
compare_models(): Fit several models and compare them
estimate_parameters(): Estimate parameters for the stochastic volatility model
forecast_var_es(): Value at Risk and Expected Shortfall for several days ahead
logit(): Logit transformation from the real line to (-1, 1).
plot(<stochvolTMB>): Plot the estimated latent volatility process
plot_diagnostics(): Diagnostic plots based on one-step-ahead residuals
plot_returns(): Plot returns with bands from the fitted model
plot_var(): Plot returns with the one-step-ahead Value at Risk
predict(<stochvolTMB>): Predict future returns and future volatilities
residuals(<stochvolTMB>): Calculate one-step-ahead (OSA) residuals for stochastic volatility model.
run_shiny_demo(): Run the shiny demo
sim_sv(): Simulate log-returns from a stochastic volatility model
simulate_parameters(): Simulate from the asymptotic distribution of the parameter estimates
spy: Daily closing prices for the S&P500 from 2005 to 2018.
summary(<stochvolTMB>): Summary tables of model parameters
summary(<stochvolTMB_predict>): Calculate quantiles based on predictions from the predictive distribution
var_es(): One-step-ahead Value at Risk and Expected Shortfall