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

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-<I>t</I> 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.

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Year of publication:	2010-04-27
Authors:	Ardia, David ; Hoogerheide, Lennart F.
Institutions:	Tinbergen Instituut
Subject:	Bayesian \| Markov Chain Monte Carlo \| GARCH \| Student-t \| R software

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 10-045/4
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011256998