This package provides the bayesGARCH function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations.
| Version: | 1-00.02 |
| Depends: | mvtnorm, coda |
| Date: | 2008-12-03 |
| Author: | David Ardia |
| Maintainer: | David Ardia <david.ardia at unifr.ch> |
| License: | GPL (≥2) |
| URL: | http://perso.unifr.ch/david.ardia |
| In views: | Finance, TimeSeries |
| CRAN checks: | bayesGARCH results |
Downloads:
| Package source: | bayesGARCH_1-00.02.tar.gz |
| MacOS X binary: | bayesGARCH_1-00.02.tgz |
| Windows binary: | bayesGARCH_1-00.02.zip |
| Reference manual: | bayesGARCH.pdf |
| Old sources: | bayesGARCH archive |