Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

被引：0
|
作者：
Ardia, David [1 ]
Hoogerheide, Lennart F. [2 ]
机构：
[1] Univ Fribourg, CH-1700 Fribourg, Switzerland
[2] Erasmus Univ, Rotterdam, Netherlands
来源：
R JOURNAL | 2010年 / 2卷 / 02期
基金：
瑞士国家科学基金会;
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This note presents the R package bayesGARCH 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 an MCMC sampling algorithm. The usage of the package is shown in an empirical application to exchange rate log-returns.
引用
收藏
页码：41 / 47
页数：7
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