Bayesian estimation of the GARCH(1,1) model with student-t innovations

David Ardia*, Lennart F. Hoogerheide

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review


This note presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning an MCMC sampling algorithm. The usage of the package is shown in an empirical application to exchange rate log-returns.

Original languageEnglish
Pages (from-to)41-47
Number of pages7
JournalThe R Journal
Issue number2
Publication statusPublished - 2010


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