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
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bayesGARCH.pdf |bayesGARCH.html✨
bayesGARCH/json (API)
NEWS

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

Peer review:

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

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

On CRAN:

bayesiangarchmcmcrisk-modelsstudent

2 exports 13 stars 1.67 score 3 dependencies 15 scripts 531 downloads

Last updated 3 years agofrom:becc562a64. Checks:OK: 1 NOTE: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 08 2024
R-4.5-win-x86_64NOTESep 08 2024
R-4.5-linux-x86_64NOTESep 08 2024
R-4.4-win-x86_64NOTESep 08 2024
R-4.4-mac-x86_64NOTESep 08 2024
R-4.4-mac-aarch64NOTESep 08 2024
R-4.3-win-x86_64NOTESep 08 2024
R-4.3-mac-x86_64NOTESep 08 2024
R-4.3-mac-aarch64NOTESep 08 2024

Exports:bayesGARCHformSmpl

Dependencies:codalatticemvtnorm