Economics at your fingertips  

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

David Ardia and Lennart F. Hoogerheide
Additional contact information
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)
Date: 2010-04-27
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().

Page updated 2020-10-21
Handle: RePEc:tin:wpaper:20100045