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>.

Install the latest version of this package by entering the following in R:
install.packages("bayesGARCH")
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

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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