stochvol

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) doi:10.1016/j.csda.2013.01.002 and Hosszejni and Kastner (2019) doi:10.1007/978-3-030-30611-3_8; the most common use cases are described in Hosszejni and Kastner (2021) doi:10.18637/jss.v100.i12 and Kastner (2016) doi:10.18637/jss.v069.i05 and the package examples.