2010
Bayesian Estimation of the GARCH(1,1) Model with Student-t-Innovations
Publication
Publication
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling algorithm. The usage of the package is shown in an empirical application to exchange rate logreturns.
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| , , , , | |
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| Tinbergen Institute | |
| hdl.handle.net/1765/19377 | |
| Tinbergen Institute Discussion Paper Series | |
| Discussion paper / Tinbergen Institute | |
| Organisation | Tinbergen Institute |
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David, D., & Hoogerheide, L. (2010). Bayesian Estimation of the GARCH(1,1) Model with Student-t-Innovations (No. TI-045/4). Discussion paper / Tinbergen Institute (pp. 1–7). Retrieved from http://hdl.handle.net/1765/19377 |
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