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NEWS.md

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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

  • CRAN release