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

Autor:	Ardia, David, Hoogerheide, Lennart F.
Jazyk:	angličtina
Rok vydání:	2010
Předmět:	GARCH ARCH-Modell Statistische Verteilung Bayesian R software Bayes-Statistik Student-t ddc:330 C15 Markov Chain Monte Carlo Statistisches Auswahlverfahren C11 C22 Theorie
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______1687::79a51e889791ec55ccf4d4e2c47c1bad https://hdl.handle.net/10419/87001 Zobrazit plný text záznamu