Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
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.
|Date of creation:||20 Sep 2009|
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Web page: https://mpra.ub.uni-muenchen.de
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- Deschamps, Philippe J., 2006.
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