Bayesian estimation of the GARCH(1,1) model with Student-t innovations

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Authors David Ardia, Lennart F. Hoogerheide
Journal/Conference Name R JOURNAL
Paper Category
Paper 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.
Date of publication 2010
Code Programming Language R
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