# Bivariate Stochastic Volatility Model in rstan

**URL:** https://discourse.mc-stan.org/t/bivariate-stochastic-volatility-model-in-rstan/34791
**Category:** Modeling
**Tags:** hierarchical-model, techniques, specification, fitting-issues, rstan
**Created:** [April 13, 2024, 2:25am UTC](https://discourse.mc-stan.org/t/bivariate-stochastic-volatility-model-in-rstan/34791 "2024-04-13T02:25:58Z")
**Posts on this page:** 3
**Page:** 1

<div class="post-metadata">

### Author: ![Mai](https://avatars.discourse-cdn.com/v4/letter/m/45deac/32.png) [@Mai](https://discourse.mc-stan.org/u/Mai)
#### Post date: [April 13, 2024, 2:25am UTC](https://discourse.mc-stan.org/t/bivariate-stochastic-volatility-model-in-rstan/34791/1 "2024-04-13T02:25:58Z")

</div>

I am very new to stan, appreciate any help to code this model in rstan.

 ![image](https://canada1.discourse-cdn.com/flex030/uploads/mc_stan/original/3X/0/0/0060c8ac2c0085b8da2f77c246d7b65f54b1ced5.png)

---

<div class="post-metadata">

### Author: ![Bob\_Carpenter](https://yyz2.discourse-cdn.com/flex030/user_avatar/discourse.mc-stan.org/bob_carpenter/32/9230_2.png) [@Bob\_Carpenter](https://discourse.mc-stan.org/u/Bob_Carpenter)
#### Post date: [April 26, 2024, 5:54pm UTC](https://discourse.mc-stan.org/t/bivariate-stochastic-volatility-model-in-rstan/34791/2 "2024-04-26T17:54:18Z")

</div>

Sorry nobody responded, Mai, but we don’t really have time to formulate models for people. You can basically write this one down exactly as written, but rather than taking \eta\_t to have a normal distribution, take h\_{t+1} \sim \textrm{normal}(\mu + \textrm{diag}(\phi\_{11}, \phi\_{22})(h\_t - \mu), \Sigma\_\eta). Then you want to give y\_t a lognormal distribution centered at \Omega\_t.

---

<div class="post-metadata">

### Author: ![arya](https://yyz2.discourse-cdn.com/flex030/user_avatar/discourse.mc-stan.org/arya/32/1626_2.png) [@arya](https://discourse.mc-stan.org/u/arya)
#### Post date: [April 26, 2024, 6:10pm UTC](https://discourse.mc-stan.org/t/bivariate-stochastic-volatility-model-in-rstan/34791/3 "2024-04-26T18:10:55Z")

</div>

The Stan user’s guide also has an example of a [univariate SV model](https://mc-stan.org/docs/stan-users-guide/time-series.html#stochastic-volatility-models). Shouldn’t be too hard to adapt to bivariate using @Bob_Carpenter’s suggestion.