Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87001
Authors: 
Ardia, David
Hoogerheide, Lennart F.
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-045/4
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-t 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.
Subjects: 
Bayesian
Markov Chain Monte Carlo
GARCH
Student-t
R software
JEL: 
C11
C15
C22
Document Type: 
Working Paper

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