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 |
| Reference manual: | bayesGARCH.pdf |
| Vignettes: |
Bayesian Estimation of The GARCH Model |
| Package source: | bayesGARCH_2.0.1.tar.gz |
| Windows binaries: | r-devel: bayesGARCH_2.0.1.zip, r-release: bayesGARCH_2.0.1.zip, r-oldrel: bayesGARCH_2.0.1.zip |
| OS X Snow Leopard binaries: | r-release: bayesGARCH_2.0.1.tgz, r-oldrel: bayesGARCH_2.0.1.tgz |
| OS X Mavericks binaries: | r-release: bayesGARCH_2.0.1.tgz |
| Old sources: | bayesGARCH archive |