<DIV><BR> </DIV>
<DIV>I have attached the code what have made to deal with two factor SV model.</DIV>
<DIV>It takes me about 87 minites to finish 2000 interations with 1000 data which is too slow compare with other people who have done this kind of model with other language. I don't know why and very confused about it. Looking forward to get your help. Thank you very much! </DIV>
<DIV> </DIV>
<DIV>Yours,</DIV>
<DIV>Liya<BR></DIV>
<DIV></DIV><BR><PRE>ÔÚ2009-12-23£¬"Brian G. Peterson" <brian@braverock.com> дµÀ£º
>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
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