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Bayesian Estimation of the GARCH(1,1) Model with Student-t InnovationsDavid ArdiaLaval University - Département de Finance et Assurance; Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) Lennart F. HoogerheideVrije Universiteit Amsterdam - Dept. of Econometrics September 21, 2009 The R Journal, Vol. 2, No. 2, pp. 41–47, 2010 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.
Number of Pages in PDF File: 7 Keywords: GARCH, Bayesian, MCMC, Student-t, R software JEL Classification: C11, C15, C22, C52 Accepted Paper SeriesDate posted: September 21, 2009 ; Last revised: April 16, 2011Suggested CitationContact Information
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