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

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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.

Reference manual

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install.packages("bayesGARCH")

2.1.3 by David Ardia, 3 years ago


https://github.com/ArdiaD/bayesGARCH


Report a bug at https://github.com/ArdiaD/bayesGARCH/issues


Browse source code at https://github.com/cran/bayesGARCH


Authors: David Ardia [aut, cre]


Documentation:   PDF Manual  


Task views: Bayesian Inference, Empirical Finance


GPL (>= 2) license


Imports mvtnorm, coda


See at CRAN