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


Author Info

  • David Ardia

    (University of Fribourg, Switzerland)

  • Lennart F. Hoogerheide

    (Erasmus University Rotterdam)


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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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 10-045/4.

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Date of creation: 27 Apr 2010
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Handle: RePEc:dgr:uvatin:20100045

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Keywords: Bayesian; Markov Chain Monte Carlo; GARCH; Student-t; R software;

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Cited by:
  1. Morgan Kelly & Cormac Ó Gráda, 2012. "Change Points and Temporal Dependence in Reconstructions of Annual Temperature: Did Europe Experience a Little Ice Age?," Working Papers, School Of Economics, University College Dublin 201210, School Of Economics, University College Dublin.
  2. Ardia, David, 2009. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R," MPRA Paper 17414, University Library of Munich, Germany.


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