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]
MaintainerDavid Ardia <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bayesGARCH documentation built on May 30, 2017, 5:23 a.m.