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