stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.
To Center or Not to Center: That is Not the Question---An Ancillarity-Suffiency Interweaving Strategy (ASIS) for Boosting MCMC Efficiency
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Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.