bayesGARCH: 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>.

Version: 2.1.10
Imports: mvtnorm, coda
Published: 2021-05-16
DOI: 10.32614/CRAN.package.bayesGARCH
Author: David Ardia ORCID iD [aut, cre, cph]
Maintainer: David Ardia <david.ardia.ch at gmail.com>
BugReports: https://github.com/ArdiaD/bayesGARCH/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
URL: https://github.com/ArdiaD/bayesGARCH
NeedsCompilation: yes
Citation: bayesGARCH citation info
Materials: README, NEWS
In views: Bayesian, Finance
CRAN checks: bayesGARCH results

Documentation:

Reference manual: bayesGARCH.html , bayesGARCH.pdf

Downloads:

Package source: bayesGARCH_2.1.10.tar.gz
Windows binaries: r-devel: bayesGARCH_2.1.10.zip, r-release: bayesGARCH_2.1.10.zip, r-oldrel: bayesGARCH_2.1.10.zip
macOS binaries: r-release (arm64): bayesGARCH_2.1.10.tgz, r-oldrel (arm64): bayesGARCH_2.1.10.tgz, r-release (x86_64): bayesGARCH_2.1.10.tgz, r-oldrel (x86_64): bayesGARCH_2.1.10.tgz
Old sources: bayesGARCH archive

Reverse dependencies:

Reverse suggests: miscFuncs

Linking:

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