[R] where do I find stochastic volatilities models in R or Matlab?

From: Michael <comtech.usa_at_gmail.com>
Date: Wed, 6 Feb 2008 23:04:02 -0800

Hi all,

Does anybody have the source code of stochastic volatility models in R or Matlab, for example, the Bayesian based or the simulation based SV estimations as described by Prof Eric Zivot in the following discussion?


I am wondering what is the current status of estimating stochastic vol models and what's the latest development -- which technique is currently the best method, Bayesian methods or the simualation based methods, or others?

Thanks a lot!

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