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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 |
DOI: | 10.32614/CRAN.package.bayesGARCH |
Author: | David Ardia |
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 |
Reference manual: | bayesGARCH.pdf |
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 suggests: | miscFuncs |
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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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