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: | 2.1.3 |
| Imports: | mvtnorm, coda |
| Published: | 2017-02-04 |
| Author: | David Ardia [aut, cre] |
| 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 |
| Reference manual: | bayesGARCH.pdf |
| Package source: | bayesGARCH_2.1.3.tar.gz |
| Windows binaries: | r-devel: bayesGARCH_2.1.3.zip, r-release: bayesGARCH_2.1.3.zip, r-oldrel: bayesGARCH_2.1.3.zip |
| OS X El Capitan binaries: | r-release: bayesGARCH_2.1.3.tgz |
| OS X Mavericks binaries: | r-oldrel: bayesGARCH_2.1.3.tgz |
| Old sources: | bayesGARCH archive |
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