ASV1.1.4 (R package)

Pre-install Libraries "freqdom" and "RcppProgress"

> install packages("freqdom")

> install packages("RcppProgress")

Install ASV Library:

> install packages("ASV")

# may need to install "Rcpp" and "RcppArmadillo" packages in advance to compile the source code

Stochastic Volatility Model without leverage
1. Rmd file: SV_Example.Rmd
2. Rpubs: rpubs.com/omori/sv-1-1-4-example
Stochastic Volatility Model with leverage
1. Rmd file: ASV_Example.Rmd
2. Rpubs:rpubs.com/omori/asv-1-1-4-example

Reference

Omori, Y., Chib, S., Shephard, N., and J. Nakajima (2007), "Stochastic volatility model with leverage:fast and efficient likelihood inference," Journal of Econometrics, 140-2, 425-449.
Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe (2023), Stochastic Volatility and Realized Stochastic Volatility Models. SpringerBriefs in Statistics (JSS Research Series in Statistics). Springer Singapore. May 2023. DOI:10.1007/978-981-99-0935-3