Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

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

Year of publication:	2019
Authors:	Ardia, David ; Hoogerheide, Lennart F.
Publisher:	[S.l.] : SSRN
Subject:	Bayes-Statistik \| Bayesian inference \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Innovation

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