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) <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 < at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
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:, r-release:, r-oldrel:
OS X binaries: r-release: bayesGARCH_2.1.3.tgz, r-oldrel: bayesGARCH_2.1.3.tgz
Old sources: bayesGARCH archive


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