bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

This package provides the bayesGARCH function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations.

Version: 2.0.1
Depends: mvtnorm, coda
Published: 2014-01-07
Author: David Ardia
Maintainer: David Ardia <david.ardia at fsa.ulaval.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
URL: http://perso.unifr.ch/david.ardia/
NeedsCompilation: yes
Citation: bayesGARCH citation info
Materials: README NEWS
In views: Bayesian, Finance, TimeSeries
CRAN checks: bayesGARCH results

Downloads:

Reference manual: bayesGARCH.pdf
Vignettes: Bayesian Estimation of The GARCH Model
Package source: bayesGARCH_2.0.1.tar.gz
OS X binary: bayesGARCH_2.0.1.tgz
Windows binary: bayesGARCH_2.0.1.zip
Old sources: bayesGARCH archive