bayesGARCH

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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

David Ardia

Last update: 16 May 2021

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

Software version identifier: 2.1.10

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

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

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

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