Displaying 1 result from an estimated 1 matches for "bayesgarch".
2018 Jan 19
0
Bayesian Analysis in GJR-GARCH (p, d) model with Student-t innovations
...ntitled ?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!...