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)
Bayesian estimation of the GARCH(1,1) model with Student-t innovations
The package bayesGARCH (Ardia and Hoogerheide, 2010) implements in R the Bayesian estimation procedure described
in Ardia (2008) for the GARCH(1,1) model with Student-t innovations.
The approach consists of a Metropolis-Hastings (MH) algorithm where the proposal distributions
are constructed from auxiliary ARMA processes on the squared observations. This methodology
avoids the time-consuming and difficult task, especially for non-experts, of choosing and tuning
a sampling algorithm.
Please cite bayesGARCH in publications:
Ardia, D., Hoogerheide, L.F. (2010).
Bayesian estimation of the GARCH(1,1) model with Student-t innovations.
R Journal 2(2), pp.41-47.
https://journal.r-project.org/archive/2010-2/
Ardia, D. (2008).
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications.
volume 612 series Lecture Notes in Economics and Mathematical Systems. Springer-Verlag, Berlin, Germany.
http://dx.doi.org/10.1007/978-3-540-78657-3
News
Changes in Version 2.1.2 o Update doc o Adapt to new CRAN standards o paper added
Changes in Version 2.0.4 o update info
Changes in Version 2.0.3 o DESCRIPTION modified o references modified
Changes in Version 2.0.2 o DESCRIPTION file adapted to new standard o Vignette modified
Changes in Version 2.0.1 o new version compiled o change of email address o change of package's structure o speedup of examples o change of version number
Changes in Version 1-00.10 o package vignette modified
Changes in Version 1-00.9 o new package vignette added o changes in documetation.
Changes in Version 1-00.8 o CITATION file modified. o package vignette updated. o package vignette published in The R Journal.
Changes in Version 1-00.7 o CITATION file modified. o documentation files modified. o package vignette added to \inst\doc.
Changes in Version 1-00.6 o function addPriorConditions is now a control parameter in bayesGARCH. o demo file modified accordingly. o documentation modified accordingly. o CITATION file modified. o remove obsolete vignette
Changes in Version 1-00.05 o CITATION file corrected
Changes in Version 1-00.04 o CITATION file modified. o changes in documetation.
Changes in Version 1-00.03 o CITATION file modified.
Changes in Version 1-00.02 o changes in documentation.
Changes in Version 1-00.01 o changes in documentation.