RESA MAE SANGCO
2018-Jan-19 06:47 UTC
[R] Bayesian Analysis in GJR-GARCH (p, d) model with Student-t innovations
Good day Ma'am/Sir, I am Resa Mae R. Sangco a Master of Statistics student from the MSU- Iligan Institute of Technology located in Iligan City, Philippines. I am currently doing my thesis entitled ?Bayesian Analysis in GJR-GARCH (p,d) model with Student-t innovations". In finding my posterior distribution since it is hard to integrate, I use Markov Chain Monte Carlo simulation particularly the Metropolis-Hasting Algorithm. Now, I search a package in R but I only found a package ?bayesGarch? which performs the Bayesian estimation of the GARCH(1,1) model with Student-t innovations. In line with this, I would like to ask if there is a package/function exist in the Bayesian estimation in the GJR-GARCH(p,d) model with student-t innovation. Your response is highly appreciated. Thank you! -- --- *DISCLAIMER AND CONFIDENTIALITY NOTICE* The Mindanao Sta...{{dropped:30}}