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
Date Written: September 21, 2009
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: Suggested Citation