wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic
Volatility Models
Estimation, simulation, hypothesis testing, and forecasting for
univariate higher-order stochastic volatility SV(p) models. Supports
Gaussian, Student-t, and Generalized Error Distribution (GED) innovations,
with optional leverage effects. Estimation uses closed-form Winsorized
ARMA-SV (W-ARMA-SV) moment-based methods that avoid numerical
optimization. Hypothesis testing includes Local Monte Carlo (LMC) and
Maximized Monte Carlo (MMC) procedures for leverage effects, heavy tails,
and autoregressive order selection. Forecasting is based on Kalman
filtering and smoothing. See Ahsan and Dufour (2021)
<doi:10.1016/j.jeconom.2020.01.018>, Ahsan, Dufour, and Rodriguez Rondon
(2025) for details.
| Version: |
0.1.0 |
| Imports: |
Rcpp (≥ 1.0.0), gsignal, stats |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
pso, GenSA, testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: |
2026-04-22 |
| DOI: |
10.32614/CRAN.package.wARMASVp (may not be active yet) |
| Author: |
Gabriel Rodriguez Rondon
 [aut, cre],
Nazmul Ahsan [aut],
Jean-Marie Dufour [aut] |
| Maintainer: |
Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca> |
| BugReports: |
https://github.com/roga11/wARMASVp/issues |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/roga11/wARMASVp |
| NeedsCompilation: |
yes |
| Citation: |
wARMASVp citation info |
| Materials: |
README, NEWS |
| CRAN checks: |
wARMASVp results |
Documentation:
Downloads:
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