bayesGARCH

cranv2.1.10

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations. Provides the bayesGARCH() function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations as described in Ardia (2008) <doi:10.1007/978-3-540-78657-3>.

License GPL (>= 2)0 versions1 maintainers2 deps164 weekly dl
ArdiaD/bayesGARCH
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mvtnormcoda
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First published · 2021-05-16 18:14:35

Last updated · 2021-05-16T16:10:02+00:00