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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20100045
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