./run.sh
The model is given by:
The package includes 3 years of daily Standard & Poors 500 log returns from 12 January 2002 to 30 December 2005, obtained from Yahoo Finance. The same range of data was used in Andrieu, Doucet & Holenstein (2010).
Stochastic volatility model for LibBi.
License
lawmurray/StochasticVolatility
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