Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2010-04-27
Number: 10-045/4
Author-Name: David Ardia
Author-Workplace-Name: University of Fribourg, Switzerland
Author-Name: Lennart F. Hoogerheide
Author-Workplace-Name: Erasmus University Rotterdam
Title: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Abstract: 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.
Classification-JEL: C11, C15, C22
Keywords: Bayesian, Markov Chain Monte Carlo, GARCH, Student-t, R software
File-Url: https://papers.tinbergen.nl/10045.pdf
File-Format: application/pdf
File-Size: 121386 bytes
Handle: RePEc:tin:wpaper:20100045