https://github.com/ardiad/bayesgarch
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
https://github.com/ardiad/bayesgarch
bayesian garch mcmc risk-models student
Last synced: 6 months ago
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
- Host: GitHub
- URL: https://github.com/ardiad/bayesgarch
- Owner: ArdiaD
- License: gpl-2.0
- Created: 2016-05-28T09:35:28.000Z (over 9 years ago)
- Default Branch: master
- Last Pushed: 2021-05-16T14:06:32.000Z (over 4 years ago)
- Last Synced: 2024-10-28T12:54:27.478Z (12 months ago)
- Topics: bayesian, garch, mcmc, risk-models, student
- Language: R
- Size: 588 KB
- Stars: 13
- Watchers: 3
- Forks: 7
- Open Issues: 1
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Metadata Files:
- Readme: README.md
- Contributing: CONTRIBUTING.md
- License: COPYING
Awesome Lists containing this project
README
# bayesGARCH
The package `bayesGARCH` ([Ardia and Hoogerheide, 2010)](https://doi.org/10.32614/RJ-2010-014) implements in R
the Bayesian estimation procedure described
in [Ardia (2008)](https://doi.org/10.1007/978-3-540-78657-3) for the GARCH(1,1) model with Student-t innovations.
The approach consists of a Metropolis-Hastings (MH) algorithm where the proposal distributions
are constructed from auxiliary ARMA processes on the squared observations. This methodology
avoids the time-consuming and difficult task, especially for non-experts, of choosing and tuning
a sampling algorithm.
## Please cite the package in publications!
By using `bayesGARCH` you agree to the following rules:
1) You must cite [Ardia and Hoogerheide (2010)](https://doi.org/10.32614/RJ-2010-014) in working papers and published papers that use `bayesGARCH`.
2) 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).
3) You assume all risk for the use of `bayesGARCH`.
Ardia, D., Hoogerheide, L.F. (2010).
Bayesian estimation of the GARCH(1,1) model with Student-t innovations.
_R Journal_, 2(2), 41-47.
[https://doi.org/10.32614/RJ-2010-014](https://doi.org/10.32614/RJ-2010-014)
Ardia, D. (2008).
_Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications_.
volume 612 series Lecture Notes in Economics and Mathematical Systems. Springer-Verlag, Berlin, Germany.
[https://doi.org/10.1007/978-3-540-78657-3](https://doi.org/10.1007/978-3-540-78657-3)