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.

Version: 2.0.2
Imports: mvtnorm, coda
Published: 2015-12-15
Author: David Ardia [aut, cre]
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
CRAN checks: bayesGARCH results

Downloads:

Reference manual: bayesGARCH.pdf
Package source: bayesGARCH_2.0.2.tar.gz
Windows binaries: r-devel: bayesGARCH_2.0.2.zip, r-release: bayesGARCH_2.0.2.zip, r-oldrel: bayesGARCH_2.0.2.zip
OS X Mavericks binaries: r-release: bayesGARCH_2.0.2.tgz, r-oldrel: bayesGARCH_2.0.2.tgz
Old sources: bayesGARCH archive