Koopman, Shephard and Doornik's

`SsfPack 3: statistical algorithms for model in state space. An Ox link to underlying C code.’ This provides filtering, smoothing and simulation smoothing algorithms for multivariate state space models. The project gives you complete documentation and code for state of the art algorithms.

Applications

(1) SVPack 2.1: Ox software for volatility models

This gives the dynamic link libraries and documentation for the Ox package SVPack, written by Neil Shephard. Some of the functions use SsfPack 2.0 and ARMS (included in SVPack software). Please install them before use. This implements the computations required for the Sangjoon Kim, Neil Shephard, Siddhartha Chib (1998) paper entitled `Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 361--93. This software was deposited on 7th March 1998 and ammended to work with a later version of Ox on 13 April 1999. Please email me at

neil.shephard@nuffield.ox.ac.uk if you have problems with installing or running this program.