![]() GARCH Bayesian MCMC Student-t R softwareĬ - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and SelectionĬ - Mathematical and Quantitative Methods > C2 - Single Equation Models Single Variables > C22 - Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion ProcessesĬ - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: GeneralĬ - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: GeneralĪrdia D (2007). Item Type:īayesian estimation of the GARCH(1,1) model with Student-t innovations The usage of the package is shown in an empirical application to exchange rate log-returns. ![]() ![]() The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. ![]() This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t ![]()
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