[R-SIG-Finance] How to estimate SV type models in R more efficiently?

[Brian G. Peterson]

qqjwl wrote:
> Hello everyone,
>     It seems that the estimation of the stochastic volatility model is inefficient in R. 
 > Is there a function in R to estimate these kind of model such as the paper
 > of Kim and Shephard(1998) "Stochastic volatility: likelihood inference and 
comparison with ARCH models" ?
 > Thank you for your attention.

Liya,

What, specifically, have you tried that seems to you to be inefficient?

Please provide references to code and packages that you have tried.  That makes 
it much easier for someone else to help you out.

I do not immediately recall the paper you reference, but I have estimated many 
different kinds of volatility models in R, and have usually been able to 
accomplish what I needed to.  There are a multitude of [G/AP]ARCH models 
available in R, which ones have you tried? What specific problems did you 
encounter?

Regards,

     - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock