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.

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Year of publication:	2009-09-20
Authors:	Ardia, David ; Hoogerheide, Lennart F.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Ardia, David and Hoogerheide, Lennart F. (2009): Bayesian estimation of the GARCH(1,1) model with Student-t innovations. Published in: The R Journal , Vol. 2, No. 2 (31 December 2010): pp. 41-47.
Classification:	C52 - Model Evaluation and Testing ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C11 - Bayesian Analysis
Source:	BASE

Persistent link: https://www.econbiz.de/10015226469