bayesGARCH

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

CRAN Package

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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