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Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R
Auteur(s)
Hoogerheide, Lennart
Date de parution
2010
In
The R Journal
Vol.
2
No
2
De la page
41
A la page
47
Revu par les pairs
1
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.
Lié au projet
Identifiants
Autre version
https://journal.r-project.org/archive/2010-2/RJournal_2010-2_Ardia+Hoogerheide.pdf
Type de publication
journal article
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