Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R
Author(s)
Hoogerheide, Lennart
Date issued
2010
In
The R Journal
Vol
2
No
2
From page
41
To page
47
Reviewed by peer
1
Subjects
GARCH Bayesian MCMC Student-t R software
Abstract
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.
Later version
https://journal.r-project.org/archive/2010-2/RJournal_2010-2_Ardia+Hoogerheide.pdf
Publication type
journal article
File(s)