Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Fr├╝hwirth-Schnatter (2014) ; the most common use cases are described in Kastner (2016) . Also incorporates SV with leverage.


News

Changes in Version 2.0.2:

  • Bugfix in 'predict.svdraws'

Changes in Version 2.0.1:

  • Introduced a minimalistic 'plot.svpredict' / 'plot.svlpredict'
  • More fine-grained control over the covariance matrix in 'svlsample', the default employs an approximate covariance matrix coming from 'svsample'
  • Bugfix in 'predict.svdraws' and minor changes in documentation thereof

Changes in Version 2.0.0:

  • New collaborator: Darjus Hosszejni
  • New functionality:
    • leverage effect through 'svlsample'
    • simulation of asymmetric returns with 'svsim'
    • prediction using designmatrices and heavy-tails
  • Updated functionality:
    • the exported C++ function 'update' uses RcppArmadillo objects and it has been renamed to 'update_sv'
    • new examples
  • Bugfix:
    • correct plotting after sampling with 'gammaprior = FALSE'
    • fixed naming of latent states in printing and plotting in the case of time series with conditionally heavy-tailed innovations
    • in 'svsample': input check for length of burnin is now fixed (thanks to Nikolas Kuschnig)
    • other small fixes
  • Deprecated:
    • functions 'arpredict' and '.svsample'
    • parameter 'thintime' in function 'svsample'

Changes in Version 1.3.4:

  • DESCRIPTION file updated.

Changes in Version 1.3.3:

  • Registered native routines.
  • Thinned graphs in vignette a bit to stay below the required 5MB mark.
  • Workaround for typo appearing in conversion of help files to LaTeX document. Thanks to Evelyn Mitchell for pointing this out.

Changes in Version 1.3.2:

  • Some more changes in the AWOL sampler because version 1.3.1 appeared to be unstable under Solaris: Sampling of h (including h0) is now done AWOL.
  • Turned progress indicator off again (not sure whether this causes issues with Solaris).

Changes in Version 1.3.1:

  • Parameter starting values are now set to their respective prior means (if not specified by the user).
  • Sampling h[-0] is now done conditionally on h0. This change should not make a difference for the standard use cases of stochvol but is necessary to yield correct results for the new prior for h0 which was introduced in version 1.3.0.
  • Turned on progress indicator also for Windows (need %% instead of \045 or % to escape a percent symbol in Rprintf).

Changes in Version 1.3.0:

  • Implemented new prior for initial log-volatility h0. Can be used to stabilize the level of the volatilities, especially when stochvol is used within the context of a more general MCMC algorithm.
  • Shortened the heavytails-vignette (a bit) to stay below the 5MB mark.
  • Fixed error in help files of svsample and svsample2 concerning startpara. Thanks to Dominic Cervicek for pointing this out.

Changes in Version 1.2.4:

  • Fixed typo which appeared in pdf package documentation. Thanks to Stefan Voigt for pointing this out.

Changes in Version 1.2.3:

  • Updated CITATION to cater for newly published article in the Journal of Statistical Software 69(5), 1-30, doi: 10.18637/jss.v069.i05.
  • The function logret can now handle xts objects. Thanks to Niko Hauzenberger for pointing this out.

Changes in Version 1.2.2:

  • Fixed bug in initialization of svsample2 that was introduced in 1.2.1. Thanks to John Kerpel for pointing this out.

Changes in Version 1.2.1:

  • Added option 'keeptau' to the store the "variance inflation factors" used for the sampler with conditional t innovations. Thanks to Sergey Egiev for pointing out that this may be useful to at what point(s) in time the normal disturbance had to be "upscaled" by a mixture factor and when the series behaved "normally".
  • Fixed residuals.svdraws to cater for a potential 'designmatrix'.

Changes in Version 1.2.0:

  • Allows for incorporation of a simple mean (regression-type) model. For details, please see ?svsample and ?arpredict. And, hopefully soon, the corresponding vignette.
  • Improved input-checking (somewhat).
  • Argument 'thintime' in svsample may now also be 'firstlast', meaning that latent volatility draws are only kept for the first and the last point in time.

Changes in Version 1.1.4:

  • Included non-base default packages that are imported in NAMESPACE into DESCRIPTION. Thanks to Kurt Hornik for pointing this out.

Changes in Version 1.1.3:

  • Fixed a typo in Makefile for building vignettes.

Changes in Version 1.1.2:

  • Fixed missing imports from non-base default packages.

Changes in Version 1.1.1:

  • Fixed "uninitialized variable" in function newtonRaphson (progutils.cpp). Warning appeared when building for Windows.
  • Minor changes in main vignette (article.Rnw) so that the included plots have smaller file size and the package does not exceed the 5MB limit (was the case on r-patched-solaris-sparc).

Changes in Version 1.1.0:

  • Introduced sampling and simulating conditional t-innvoations. (Hopefully) all affected functions
    • svsample
    • svsample2
    • volplot
    • paratraceplot
    • paradensplot
    • plot.svdraws
    • plot.svresid
    • svsim
    • updatesummary
    • predict.svdraws
    • residuals.svdraws
    • print.svsim
    • print.summary.svsim
    • print.summary.svdraws and the corresponding help files have been adapted. See package vignette "heavytails" for details. Still a "beta-feature", please use with care. Bug reports and/or comments are warmly welcome!
  • The plot functions now take an optional svsim object.
  • predict.svdraws is now in R/utilities_svdraws.R (was in R/plotting.R)

Changes in Version 1.0.2:

  • Fixed some more typos.
  • Plotting functions are now in R/plotting.R

Changes in Version 1.0.1:

  • Updated keywords in vignette.
  • Changed VignetteKeyword entries to adhere to CRAN style guide.

Changes in Version 1.0.0:

  • First stable release.
  • Minor stylistic changes in package vignette.
  • Updated CITATION file.
  • Version numbering changed from X.Y-Z to X.Y.Z.

Changes in Version 0.9-2:

  • Fixed some typographical errors in help files. Thanks to Angela Bitto for pointing these out.

Changes in Version 0.9-1:

  • Fixed typographical errors in vignette.
  • Added additional results in Table 1 of vignette.
  • Minor changes in DESCRIPTION to adhere to CRAN style guide.

Changes in Version 0.9-0:

  • Requires now Rcpp >= 0.11.0 and consequently R >= 3.0.0.
  • Replaced RNGScope in sampler.cpp by "manual" GetRNGstate() and PutRNGstate() statements because the former is not safe if return variables are declared afterwards, cf. https://www.mail-archive.com/[email protected]/msg07519.html and follow-ups for further information.
  • Minimal overhead sampling function .svsample was renamed to svsample2. The former name will be faded out; please use svsample2 from now on.
  • Substantial rewrite of vignette, especially Section 5; includes now a comparison of SV and GARCH.
  • Updates and corrections in .Rd files.
  • Added some info when package is attached.
  • Sample size is now denoted as "n" instead of "T", in order to avoid confusion with "TRUE" and/or the transpose symbol.

Changes in Version 0.8-4:

  • Fixed a bug introduced in version 0.8-2, where I forgot to let .svsample know about the changes in update(...). Thanks to Keiran Thompson for pointing this out.
  • Updated CITATION file.

Changes in Version 0.8-3:

  • Minor changes in vignette.

Changes in Version 0.8-2

  • update(...) now takes an additional boolean argument preventing an update of mu (but instead hold mu = 0 fixed). This feature is needed e.g. for factor stochastic volatility models.
  • C++ function "update" rewritten to use ordinary pointers instead of Rcpp objects. This became necessary because Rcpp objects cannot be constructed re-using memory due to the SEXPREC structure. See https://www.mail-archive.com/[email protected]/msg06811.html and follow-ups for a more detailed explanation.

Changes in Version 0.8-1

  • Added a -I directive for compiler in Makevars.win so that winbuilder finds headers in inst/include/.
  • Re-ran all code used in vignette.

Changes in Version 0.8-0

  • Re-structured main sampler code in sampler.cpp: new function "update" performs a single MCMC iteration. Additionally, this function is also made available to be called by C/C++ code in another package. To use this function within C/C++ code, simply #include <update.h> (defined in inst/include) in the C/C++ code of your package, which itself Imports:/Depends: stochvol (>= 0.8). See package factorstochvol for an example using this mechanism.
  • Minor stylistic changes in helper functions and subroutines at C++-level).
  • Fixed a minor bug in sampler.cpp where regressionNoncentered returned sigma instead of fabs(sigma) when phi is drawn outside of the unit sphere.
  • Fixed DESCRIPTION to Import: Rcpp (instead of Depend:).
  • Fixed NAMESPACE: Now has "importFrom(Rcpp, evalCpp)" as required by Rcpp 0.11.0.

Changes in Version 0.7-2

  • Updated CITATION file.
  • Updated vignette (mainly stylistic changes).

Changes in Version 0.7-1

  • Manual is now provided as a vignette.

Changes in Version 0.7-0

  • Added a manual.
  • Changed the default prior for mu from c(-10, 3) to c(0, 100) to avoid disaster when percentage log-returns (instead of log-returns) are used but the prior is not adapted accordingly.
  • Included the date in the exrates dataset.
  • Changed svsample to also accept vectors with zero-returns; it throws a warning now (instead of an error) and adds an offset constant.
  • Fixed plot.svdraws to reset par to old values.
  • Added a "residual plot" feature. Thanks to Hedibert Lopes for pointing this out.
  • Added the convenience function "logret" for taking log-returns of a given series, with the possibility of de-meaning.
  • Cleaned up summary.svdraws, which now returns a "summary.svdraws" object. For actual printing, print.summary.svdraws is used.
  • Cleaned up summary.svsim, which now returns a "summary.svsim" object. For actual printing, print.summary.svsim is used.

Changes in Version 0.6-1

  • Fixed typo in wrapper.R which previously disallowed changing the "expert" argument "proposalvar4sigmaphi": Replaced "proposalvar2sigmaphi" by "proposalvar4sigmaphi" on line 76.
  • Included EUR exchange rates from the European Bank's Statistical Data Warehouse. Use with "data(exrates)".
  • Added CITATION file.
  • Replaced Rprintf by REprintf and cat(...) by cat(..., file=stderr()) for status reports. Thanks to Kurt Hornik for pointing this out.

Changes in Version 0.6-0

  • Introduced ".svsample" for minimal overhead sampling. Intended to be used as a plug-in into other MCMC samplers. No input checking, use with proper care!
  • Disabled progress bar in non-Unix-like systems due to problems with console flushing.
  • Some bug fixes for solaris. Seems to build fine now. Thanks to Brian Ripley for reporting the bugs.

Changes in Version 0.5-1

  • Replaced all paste0(...) calls by paste(..., sep='') for compatibility reasons.

Changes in Version 0.5-0

  • First CRAN release version.

TODO:

  • Code updatesummary in C (apply w/ quantiles is slow).
  • Make AWOL sampler available for fixed parameters. Thanks to Hedibert Lopes for pointing this out.

Reference manual

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install.packages("stochvol")

2.0.2 by Darjus Hosszejni, 2 months ago


Browse source code at https://github.com/cran/stochvol


Authors: Gregor Kastner [aut] , Darjus Hosszejni [aut, cre]


Documentation:   PDF Manual  


Task views: Bayesian Inference, Empirical Finance, Time Series Analysis


GPL (>= 2) license


Imports Rcpp, graphics, stats, utils

Depends on coda

Suggests mvtnorm

Linking to Rcpp, RcppArmadillo


Imported by factorstochvol.

Suggested by tensorBSS, tsBSS.


See at CRAN