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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>.

Versions across snapshots

VersionRepositoryFileSize
2.1.10 rolling linux/jammy R-4.5 bayesGARCH_2.1.10.tar.gz 70.8 KiB
2.1.10 rolling linux/noble R-4.5 bayesGARCH_2.1.10.tar.gz 70.7 KiB
2.1.10 rolling source/ R- bayesGARCH_2.1.10.tar.gz 53.8 KiB
2.1.10 latest linux/jammy R-4.5 bayesGARCH_2.1.10.tar.gz 70.8 KiB
2.1.10 latest linux/noble R-4.5 bayesGARCH_2.1.10.tar.gz 70.7 KiB
2.1.10 latest source/ R- bayesGARCH_2.1.10.tar.gz 53.8 KiB
2.1.10 2026-04-26 source/ R- bayesGARCH_2.1.10.tar.gz 53.8 KiB
2.1.10 2026-04-23 source/ R- bayesGARCH_2.1.10.tar.gz 53.8 KiB
2.1.10 2026-04-09 windows/windows R-4.5 bayesGARCH_2.1.10.zip 78.5 KiB
2.1.10 2025-04-20 source/ R- bayesGARCH_2.1.10.tar.gz 53.8 KiB

Dependencies (latest)

Imports