{"id":26554021,"url":"https://github.com/beliavsky/autoregressivestochasticvolatility","last_synced_at":"2026-07-13T23:32:36.247Z","repository":{"id":279498818,"uuid":"863273370","full_name":"Beliavsky/AutoregressiveStochasticVolatility","owner":"Beliavsky","description":"Simulate from and fit a discrete-time autoregressive log stochastic volatility model","archived":false,"fork":false,"pushed_at":"2025-02-26T04:36:14.000Z","size":44,"stargazers_count":0,"open_issues_count":0,"forks_count":0,"subscribers_count":1,"default_branch":"main","last_synced_at":"2025-10-27T17:48:35.961Z","etag":null,"topics":["quantitative-finance","simulation","stochastic-volatility","time-series-analysis"],"latest_commit_sha":null,"homepage":"","language":"Fortran","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/Beliavsky.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2024-09-26T02:42:30.000Z","updated_at":"2025-02-26T04:36:18.000Z","dependencies_parsed_at":"2025-02-25T22:37:30.802Z","dependency_job_id":null,"html_url":"https://github.com/Beliavsky/AutoregressiveStochasticVolatility","commit_stats":null,"previous_names":["beliavsky/autoregressivestochasticvolatility"],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/Beliavsky/AutoregressiveStochasticVolatility","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FAutoregressiveStochasticVolatility","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FAutoregressiveStochasticVolatility/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FAutoregressiveStochasticVolatility/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FAutoregressiveStochasticVolatility/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/Beliavsky","download_url":"https://codeload.github.com/Beliavsky/AutoregressiveStochasticVolatility/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FAutoregressiveStochasticVolatility/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":35440511,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-05-26T15:22:16.424Z","status":"online","status_checked_at":"2026-07-13T02:00:06.543Z","response_time":119,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["quantitative-finance","simulation","stochastic-volatility","time-series-analysis"],"created_at":"2025-03-22T09:38:47.414Z","updated_at":"2026-07-13T23:32:36.226Z","avatar_url":"https://github.com/Beliavsky.png","language":"Fortran","funding_links":[],"categories":[],"sub_categories":[],"readme":"# AutoregressiveStochasticVolatility\nSimulate from and fit a [discrete-time autoregressive log stochastic volatility model](https://hedibert.org/wp-content/uploads/2021/03/sv-mcmc-smc.html). Run with `python xarsv.py`.\n\n```\nSample output:\n\n#obs: 1000000\n\n            mu       phi     sigma\ntrue -0.500000  0.900000  0.400000\n fit -0.497048  0.910509  0.377125\n\n                 mean       std      skew  kurtosis        min        max\nvol          0.865088  0.417543  1.540771  4.381076   0.068404   6.841719\nlog(vol)    -0.249821  0.458181 -0.004259  0.003998  -2.682318   1.923039\nreturns      0.000676  0.961069  0.016876  4.004919 -13.000362  17.599214\nreturns/vol  0.000224  1.001080  0.002882 -0.004051  -4.770352   4.496121\n\n            mu       phi     sigma\ntrue -0.500000  0.900000  0.400000\n fit -0.498815  0.916295  0.365594\n\n                 mean       std      skew  kurtosis        min        max\nvol          0.865183  0.420412  1.564852  4.576003   0.088911   5.967455\nlog(vol)    -0.250893  0.460690 -0.002258 -0.001021  -2.420119   1.786320\nreturns     -0.000413  0.962733  0.015700  3.903745 -10.188885  11.650475\nreturns/vol -0.001248  1.000968 -0.002871  0.001489  -4.787957   4.829210\n\n            mu       phi     sigma\ntrue -0.500000  0.900000  0.400000\n fit -0.503347  0.889827  0.422405\n\n                 mean       std      skew  kurtosis        min        max\nvol          0.865523  0.419989  1.544392  4.325622   0.075386   5.731296\nlog(vol)    -0.250369  0.460482 -0.003971 -0.003401  -2.585135   1.745942\nreturns      0.000182  0.960359  0.004223  3.915706 -12.880456  11.390660\nreturns/vol -0.000037  0.998975 -0.000440 -0.000098  -4.861752   5.047978\n```\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbeliavsky%2Fautoregressivestochasticvolatility","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fbeliavsky%2Fautoregressivestochasticvolatility","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbeliavsky%2Fautoregressivestochasticvolatility/lists"}