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

David Ardia and Lennart F. Hoogerheide
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Lennart F. Hoogerheide: Erasmus University Rotterdam

No 10-045/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling algorithm. The usage of the package is shown in an empirical application to exchange rate logreturns.

Keywords: Bayesian; Markov Chain Monte Carlo; GARCH; Student-t; R software (search for similar items in EconPapers)
JEL-codes: C11 C15 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2010-04-27
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