stochvol

3.2.9

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

13packages depend

24Kdownloads / year

59.4%test coverage

13/13checks pass

Overview

About

Maintained by Darjus HosszejniFirst published 2013-01-2348 releasesCRAN page ↗GitHub ↗

Efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models with and without asymmetry (leverage) via Markov chain Monte Carlo (MCMC) methods. Methodological details are given in Kastner and Frühwirth-Schnatter (2014) doi:10.1016/j.csda.2013.01.002 and Hosszejni and Kastner (2019) doi:10.1007/978-3-030-30611-3_8; the most common use cases are described in Hosszejni and Kastner (2021) doi:10.18637/jss.v100.i12 and Kastner (2016) doi:10.18637/jss.v069.i05 and the package examples.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("stochvol", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("gregorkastner/stochvol")

Development version from gregorkastner/stochvol. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-stochvol

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-stochvol

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-stochvol

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 6.6 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.19

59.4%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 85%
Documented parameters: 96%
Return-value docs: 58%
References docs: 12%

Downloads

24K

CRAN downloads in the past year

Rank #2,906 · ~66/day · ~2K/mo

Releases R versions

Daily download trend is not available in this view yet.

2K30 days

5.5K90 days

24K1 year

Compare downloads with other packages →

Also on654 r2u30 autocran5.1K conda_forge101 c2d4u

Repository

GitHub ↗ gregorkastner/stochvol

19Stars

9Forks

0Open issues

0Open PRs

17Releases

565Commits

6Contributors

565 commits · Last activity 2026-04-11 · +5.6% stars, 30d

Stars over time

2025-03-29 · 152026-07-14 · 19

Repository practices

Upstream repositoryBeta

2 development-tooling and community-health practices detected across 2 families in the upstream repository

Checks run against github.com/gregorkastner/stochvol on 2026-07-19.

Continuous integration (1)

GitHub Actions

Lint, format, editor (1)

lintr

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

7 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5

Imports (6)

Rcpp codagraphicsstatsutilsgrDevices

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (3)

testthat mvtnorm knitr

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

13direct

0indirect

BGVAR bayesianVARs bsvars dsp factorstochvol shrinkDSM shrinkTVP shrinkTVPVAR BGVAR bayesianVARs factorstochvol shrinkDSM shrinkTVP shrinkTVPVAR DynCount bsreg stochvolTMB tensorBSS tsBSS

Code & Tests

Datasets

People & History

People (2)

Maintainer (1)

Darjus Hosszejni

Author, Maintainer · added in 2.0.0

Authors (2)

Darjus Hosszejni

Author, Maintainer · added in 2.0.0

Gregor Kastner

Author

Package Timeline

48 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
3.2.9Latest
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R 4.5.0 released · 2025-04-11
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R 4.4.0 released · 2024-04-24
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R 4.3.0 released · 2023-04-21
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R 4.2.0 released · 2022-04-22
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2021-11-26 · diff ↗
3.1.0
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3.0.6
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Show 47 earlier events

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R 4.1.0 released · 2021-05-18
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R 3.2.0 released · 2015-04-16
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R 3.1.0 released · 2014-04-10
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R 3.0.0 released · 2013-04-03
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2013-01-27 · diff ↗
0.5-0
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R
R 2.15.0 released · 2012-03-30

Package metadata

First published: 2013-01-23
Total releases: 48 / 13 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5
Bundled data: 140 KB / 1 file
Download size: 3.2 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Bayesian Inference Empirical Finance Time Series Analysis

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