Statistics, Department of
The R Journal
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Date of this Version
12-2010
Document Type
Article
Citation
The R Journal (December 2010) 2(2)
Abstract
This note presents the R package bayesGARCH 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 an MCMC sampling algorithm. The usage of the package is shown in an empirical application to exchange rate log-returns
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2010, The R Foundation. Open access material. License: CC BY 3.0 Unported