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>.

AuthorDavid Ardia [aut, cre]
Date of publication2017-02-04 22:44:02
MaintainerDavid Ardia <david.ardia.ch@gmail.com>
LicenseGPL (>= 2)
Version2.1.3
https://github.com/ArdiaD/bayesGARCH

View on CRAN

Files

bayesGARCH
bayesGARCH/COPYING
bayesGARCH/inst
bayesGARCH/inst/CITATION
bayesGARCH/inst/COPYRIGHTS
bayesGARCH/src
bayesGARCH/src/fnGarchC.c
bayesGARCH/NAMESPACE
bayesGARCH/NEWS
bayesGARCH/data
bayesGARCH/data/dem2gbp.rda
bayesGARCH/R
bayesGARCH/R/sampler.R bayesGARCH/R/functions.R
bayesGARCH/README.md
bayesGARCH/MD5
bayesGARCH/README
bayesGARCH/build
bayesGARCH/build/partial.rdb
bayesGARCH/DESCRIPTION
bayesGARCH/THANKS
bayesGARCH/man
bayesGARCH/man/formSmpl.Rd bayesGARCH/man/bayesGARCH.Rd bayesGARCH/man/dem2gbp.Rd

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