Jouchi Nakajima

Stochastic Volatility (SV) models

References:

  • Kim, S, N. Shephard, and S. Chib (1998) "Stochastic volatility: likelihood inference and comparison with ARCH models" Review of Economic Studies, 65, 361-393.

  • Omori, Y., S. Chib, N. Shephard, and J. Nakajima (2007) "Stochastic volatility with leverage: Fast and efficient likelihood inference" Journal of Econometrics, 140, 425-449.


SVPACK: MCMC estimation (mixture sampler) for SV model without leverage

svpack.zip - for Ox


ASVPACK: MCMC estimation (mixture sampler) for (Asymmetric) SV model with leverage

asvpack.zip - for Ox