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}}
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
