stochvolTMB 0.2.0
- Added
predict
function that makes it possible to simulate future volatility and log-returns.
plot
has a new forecast
argument that makes it possible to include forecasted volatility.
- The degrees of freedom for the
t
model is estimated on log scale and shifted by 2 so that it is guaranteed to be greater than 2. This is to ensure that the variance is finite.
- Changed parameter names from
phi_logit
and rho_logit
to logit_phi
and logit_rho
to be consistent with other parameter names.
- Updated README.
- Updated documentation.
stochvolTMB 0.1.2