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bayesGARCH  

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
View on CRAN: Click here


Download and install bayesGARCH package within the R console
Install from CRAN:
install.packages("bayesGARCH")

Install from Github:
library("remotes")
install_github("cran/bayesGARCH")

Install by package version:
library("remotes")
install_version("bayesGARCH", "2.1.10")



Attach the package and use:
library("bayesGARCH")
Maintained by
David Ardia
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2008-06-03
Latest Update: 2021-05-16
Description:
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) .
How to cite:
David Ardia (2008). bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations. R package version 2.1.10, https://cran.r-project.org/web/packages/bayesGARCH. Accessed 11 Jun. 2026.
Previous versions and publish date:
1-00.01 (2008-06-03 14:36), 1-00.02 (2008-12-04 10:28), 1-00.04 (2009-05-11 12:28), 1-00.05 (2009-11-25 09:29), 1-00.06 (2010-08-31 19:57), 1-00.08 (2011-01-04 08:28), 1-00.09 (2011-02-10 09:22), 1-00.10 (2011-04-15 07:18), 2.0.1 (2014-01-07 11:00), 2.0.2 (2015-12-15 09:27), 2.1.2 (2017-01-12 21:36), 2.1.3 (2017-02-04 22:44), 2.1.4 (2020-04-19 08:30), 2.1.5 (2020-04-20 23:50), 2.1.7 (2021-04-20 23:40), 2.1.8 (2021-04-22 17:00)
Other packages that cited bayesGARCH R package
View bayesGARCH citation profile
Other R packages that bayesGARCH depends, imports, suggests or enhances
Complete documentation for bayesGARCH
Functions, R codes and Examples using the bayesGARCH R package
Some associated functions: bayesGARCH . dem2gbp . formSmpl . 
Some associated R codes: functions.R . sampler.R .  Full bayesGARCH package functions and examples
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