ArdiaD/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
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Package details |
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| Author | David Ardia [aut, cre, cph] (<https://orcid.org/0000-0003-2823-782X>) |
| Maintainer | David Ardia <david.ardia.ch@gmail.com> |
| License | GPL (>= 2) |
| Version | 2.1.10 |
| URL | https://github.com/ArdiaD/bayesGARCH |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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