This package provides the bayesGARCH function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations.
| Version: | 1-00.10 |
| Depends: | mvtnorm, coda |
| Published: | 2011-04-15 |
| Author: | David Ardia |
| Maintainer: | David Ardia <david.ardia at unifr.ch> |
| License: | GPL (≥ 2) |
| URL: | http://perso.unifr.ch/david.ardia/ |
| Citation: | bayesGARCH citation info |
| In views: | Bayesian, Finance, TimeSeries |
| CRAN checks: | bayesGARCH results |
| Package source: | bayesGARCH_1-00.10.tar.gz |
| MacOS X binary: | bayesGARCH_1-00.10.tgz |
| Windows binary: | bayesGARCH_1-00.10.zip |
| Reference manual: | bayesGARCH.pdf |
| Vignettes: |
Bayesian Estimation of The GARCH Model |
| News/ChangeLog: | NEWS |
| Old sources: | bayesGARCH archive |