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

Provides the bayesGARCH() function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations as described in Ardia (2008) <doi:10.1007/978-3-540-78657-3>.

Getting started

Package details

AuthorDavid Ardia [aut, cre, cph] (<https://orcid.org/0000-0003-2823-782X>)
MaintainerDavid Ardia <david.ardia.ch@gmail.com>
LicenseGPL (>= 2)
Version2.1.5
URL https://github.com/ArdiaD/bayesGARCH
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bayesGARCH")

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bayesGARCH documentation built on April 21, 2020, 1:14 a.m.