Munich Personal RePEc Archive

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

Ardia, David (2009): Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_17414.pdf

Download (312kB) | Preview

Abstract

This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. The usage of the package is shown in an empirical application to exchange rate log-returns.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.