[R] Stochastic Volatility

[Phineas Campbell]

Has anybody implemented or tried to implement a stochastic volatility model
using the Kalman filter following a series of papers by Harvey, Ruiz and
Shepard?

This is a sophisticated approach for estimating an important class of
models, so I am surprised that no implementation exists, is this because
there are unforeseeable problems?

In a related but off topic question, it has been a while since I looked at
the non homoskedastic time series literature but back then you couldn't pick
up a journal without reading another stochastic volatility paper, does
anybody have any ideas why the literature has drifted back toward less
satisfactory GARCH and EGARCH models?

This question is somewhat moot as if I choose to pursue this I will
implement a model myself.


Phineas Campbell