Package: bayesGARCH 2.1.10

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

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>.

Authors:David Ardia [aut, cre, cph]

bayesGARCH_2.1.10.tar.gz
bayesGARCH_2.1.10.zip(r-4.7)bayesGARCH_2.1.10.zip(r-4.6)bayesGARCH_2.1.10.zip(r-4.5)
bayesGARCH_2.1.10.tgz(r-4.6-x86_64)bayesGARCH_2.1.10.tgz(r-4.6-arm64)bayesGARCH_2.1.10.tgz(r-4.5-x86_64)bayesGARCH_2.1.10.tgz(r-4.5-arm64)
bayesGARCH_2.1.10.tar.gz(r-4.7-arm64)bayesGARCH_2.1.10.tar.gz(r-4.7-x86_64)bayesGARCH_2.1.10.tar.gz(r-4.6-arm64)bayesGARCH_2.1.10.tar.gz(r-4.6-x86_64)
bayesGARCH_2.1.10.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
bayesGARCH/json (API)

# Install 'bayesGARCH' in R:
install.packages('bayesGARCH', repos = c('https://ardiad.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ardiad/bayesgarch/issues

Datasets:
  • dem2gbp - DEM/GBP exchange rate log-returns

On CRAN:

Conda:

bayesiangarchmcmcrisk-modelsstudent

4.16 score 16 stars 18 scripts 406 downloads 2 exports 3 dependencies

Last updated from:becc562a64. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK99
linux-devel-x86_64OK108
source / vignettesOK147
linux-release-arm64OK120
linux-release-x86_64OK189
macos-release-arm64OK110
macos-release-x86_64OK441
macos-oldrel-arm64OK71
macos-oldrel-x86_64OK233
windows-develOK65
windows-releaseOK110
windows-oldrelOK78
wasm-releaseOK87

Exports:bayesGARCHformSmpl

Dependencies:codalatticemvtnorm