Bayesgarch: Bayesian Estimation Of The Garch(1,1) Model With Student-T Innovations In R
David Ardia; Lennart F. Hoogerheide;
- Publisher: Zenodo
Related identifiers: - Subject: R software | Bayesian | GARCH | MCMC
<p>The package bayesGARCH implements in R (R Core Team, 2016) the Bayesian estimation procedure described in Ardia (2008, chapter 5) for the GARCH(1,1) model with Student-t innovations. The approach consists of a Metropolis-Hastings (MH) algorithm where the proposal dis... View more