Stochastic volatility models in INLA

[G GG]

Hi there! I am a brand new user of INLA. It is a great package, love it! :)

I am working with GARCH models (already implemented in INLA, see for instance this interesting paper) and not find any 'inspirational example' to understand/see how to implement and fit these models in R. I found a link to a tutorial (in particular StochVol study case), but the links to code is missing. Could you please provide the the previous mentioned study case (or any other equivalent case study) developed in R, I would greatly appreciate it!

Thanks

Gabriel

 

[Helpdesk]

Stoch vol models is nothing else than a special likelihood, where the
unknown process in time drives the variance of Gaussian noise. usually,
its linear in log(variance) [or log(stdev) og log(prec), which are all
the same]. for the latent model, then AR1, or AR1C (with covaraiates)
are used.

I attach some simple examples you might find useful. as always, the only
way to make sure you do the right thing, is to simulate data and
estimate them back [and getting the parameters back of'course]

H

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Håvard Rue
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