Code for Stochvol example

#Load the data set

poundd<-read.table("StochVol.txt",header=T)

#Gaussian model

#we define the priors for the two hyperparameters and set starting values for the optimization procedure

model.g <- inla(ret~f(time,model="ar1",param=c(1,0.001,0,0.4),initial=c(4.8,5)),

family="stochvol",data=poundd)

# Student-t model

#here we choose to compute also the dic and the marginal likelihood

#moreover we ask the inla()function to return all the posterior marginals for the latent field

#and we

model.t <- inla(ret~f(time,model="ar1",param=c(1,0.001,0,0.4),initial=c(2,3)),

family="stochvol_t",data=poundd,control.compute=list(dic=T,mlik=T),

control.predictor=list(return.marginals=T),control.inla=list(int.strategy="grid"))

#NIG model

model.nig <- inla(ret~f(time,model="ar1",param=c(1,0.001,0,0.4),initial=c(4.8,5)),

family="stochvol_nig",data=poundd)