A Matlab package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.
If you use this code in your research, please cite the paper:
@article{Nguyen:2019JBES,
author = {Nghia Nguyen and Minh-Ngoc Tran and David Gunawan and Robert Kohn},
title = {A Statistical Recurrent Stochastic Volatility Model for Stock Markets},
journal = {Journal of Business & Economic Statistics},
volume = {41},
pages = {414-428},
eprint = {arXiv:1906.02884},
year = "2022"
}