bayesGARCH

MaRDI QIDQ42487swMATHCRANFDO

Authors David Ardia

Last update 21 August 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 2.1.10, PACKAGES.rds, 1-00.01, 1-00.02, 1-00.04, 1-00.05, 1-00.06, 1-00.08, 1-00.09, 1-00.10, 2.0.1, 2.0.2, 2.1.2, 2.1.3, 2.1.4, 2.1.5, 2.1.7, 2.1.8, 2.2.0

Official website https://cran.r-project.org/web/packages/bayesGARCH/index.html

Source code repository https://github.com/cran/bayesGARCH

Description

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>.

Cites work

• Financial Risk Management with Bayesian Estimation of GARCH Models

Cited in

(6)

• fGarch
• Bolstad
• gets
• GEVStableGarch
• varstan
• Model Selection and Averaging in Financial Risk Management

This page was built for software: bayesGARCH