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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: 2.1.10
Imports: mvtnorm, coda
Published: 2021-05-16
Author: David Ardia ORCID iD [aut, cre, cph]
Maintainer: David Ardia <david.ardia.ch at gmail.com>
BugReports: https://github.com/ArdiaD/bayesGARCH/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
URL: https://github.com/ArdiaD/bayesGARCH
NeedsCompilation: yes
Citation: bayesGARCH citation info
Materials: README NEWS
In views: Bayesian, Finance
CRAN checks: bayesGARCH results

Documentation:

Reference manual: bayesGARCH.pdf

Downloads:

Package source: bayesGARCH_2.1.10.tar.gz
Windows binaries: r-devel: bayesGARCH_2.1.10.zip, r-release: bayesGARCH_2.1.10.zip, r-oldrel: bayesGARCH_2.1.10.zip
macOS binaries: r-release (arm64): bayesGARCH_2.1.10.tgz, r-oldrel (arm64): bayesGARCH_2.1.10.tgz, r-release (x86_64): bayesGARCH_2.1.10.tgz, r-oldrel (x86_64): bayesGARCH_2.1.10.tgz
Old sources: bayesGARCH archive

Reverse dependencies:

Reverse suggests: miscFuncs

Linking:

Please use the canonical form https://CRAN.R-project.org/package=bayesGARCH to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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