Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R
David Ardia & Lennart Hoogerheide
| Résumé |
This paper presents the R package bayesGARCH which provides
functions for the Bayesian estimation of the parsimonious but
effective GARCH(1,1) model with Student-t innovations. The
estimation procedure is fully automatic and thus avoids the
time-consuming and difficult task of tuning a sampling algorithm.
The usage of the package is shown in an empirical application to
exchange rate log-returns. |
| Mots-clés |
GARCH, Bayesian, MCMC, Student-t, R software |
| Citation | Ardia, D., & Hoogerheide, L. (2010). Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R. The R Journal, 2(2), 41-47. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2010 |
| Nom du périodique | The R Journal |
| Volume | 2 |
| Numéro | 2 |
| Pages | 41-47 |
| URL | https://journal.r-project.org/archive/2010-2/RJournal_201... |
| Liée au projet | Bayesian estimation of regime-switching GARCH models |