{"id":21872186,"url":"https://github.com/ardiad/bayesgarch","last_synced_at":"2025-04-15T00:05:01.818Z","repository":{"id":56934936,"uuid":"59887397","full_name":"ArdiaD/bayesGARCH","owner":"ArdiaD","description":"Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations","archived":false,"fork":false,"pushed_at":"2021-05-16T14:06:32.000Z","size":602,"stargazers_count":13,"open_issues_count":1,"forks_count":7,"subscribers_count":3,"default_branch":"master","last_synced_at":"2024-10-28T12:54:27.478Z","etag":null,"topics":["bayesian","garch","mcmc","risk-models","student"],"latest_commit_sha":null,"homepage":null,"language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-2.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/ArdiaD.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":"CONTRIBUTING.md","funding":null,"license":"COPYING","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2016-05-28T09:35:28.000Z","updated_at":"2024-01-09T14:26:41.000Z","dependencies_parsed_at":"2022-08-21T05:50:09.535Z","dependency_job_id":null,"html_url":"https://github.com/ArdiaD/bayesGARCH","commit_stats":null,"previous_names":[],"tags_count":1,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FbayesGARCH","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FbayesGARCH/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FbayesGARCH/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FbayesGARCH/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/ArdiaD","download_url":"https://codeload.github.com/ArdiaD/bayesGARCH/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":226868313,"owners_count":17694896,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["bayesian","garch","mcmc","risk-models","student"],"created_at":"2024-11-28T06:19:29.231Z","updated_at":"2024-11-28T06:19:29.887Z","avatar_url":"https://github.com/ArdiaD.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"# bayesGARCH\n\nThe package `bayesGARCH` ([Ardia and Hoogerheide, 2010)](https://doi.org/10.32614/RJ-2010-014) implements in R \nthe Bayesian estimation procedure described \nin [Ardia (2008)](https://doi.org/10.1007/978-3-540-78657-3) for the GARCH(1,1) model with Student-t innovations.\nThe approach consists of a Metropolis-Hastings (MH) algorithm where the proposal distributions\nare constructed from auxiliary ARMA processes on the squared observations. This methodology \navoids the time-consuming and difficult task, especially for non-experts, of choosing and tuning \na sampling algorithm. \n\n## Please cite the package in publications!\n\nBy using `bayesGARCH` you agree to the following rules: \n\n1) You must cite [Ardia and Hoogerheide (2010)](https://doi.org/10.32614/RJ-2010-014) in working papers and published papers that use `bayesGARCH`.\n2) You must place the following URL in a footnote to help others find `bayesGARCH`: [https://CRAN.R-project.org/package=bayesGARCH](https://CRAN.R-project.org/package=bayesGARCH). \n3) You assume all risk for the use of `bayesGARCH`.\n\nArdia, D., Hoogerheide, L.F. (2010).  \nBayesian estimation of the GARCH(1,1) model with Student-t innovations.  \n_R Journal_, 2(2), 41-47.    \n[https://doi.org/10.32614/RJ-2010-014](https://doi.org/10.32614/RJ-2010-014)    \n\nArdia, D. (2008).    \n_Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications_.   \nvolume 612 series Lecture Notes in Economics and Mathematical Systems. Springer-Verlag, Berlin, Germany.    \n[https://doi.org/10.1007/978-3-540-78657-3](https://doi.org/10.1007/978-3-540-78657-3)    \n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Fbayesgarch","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fardiad%2Fbayesgarch","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Fbayesgarch/lists"}