bayesGARCH (Q42487)
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | bayesGARCH |
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations |
Statements
expanded from: GPL (≥ 2) (English)
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21 August 2026
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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>.
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