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

The R Journal, Vol. 2, No. 2, pp. 41–47, 2010

7 Pages Posted: 21 Sep 2009 Last revised: 8 Dec 2019

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Lennart F. Hoogerheide

VU University Amsterdam

Date Written: September 21, 2009

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.

Keywords: GARCH, Bayesian, MCMC, Student-t, R software

JEL Classification: C11, C15, C22, C52

Suggested Citation

Ardia, David and Hoogerheide, Lennart F., Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations (September 21, 2009). The R Journal, Vol. 2, No. 2, pp. 41–47, 2010, Available at SSRN: https://ssrn.com/abstract=1476523

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Lennart F. Hoogerheide

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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