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

Michael comtech.usa at gmail.com
Thu Feb 7 08:04:02 CET 2008


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!



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