The R Journal: article published in 2010, volume 2:2

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
David Ardia and Lennart F. Hoogerheide , The R Journal (2010) 2:2, pages 41-47.

Abstract 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.

CRAN packages: fGarch, rgarch, tseries, bayesGARCH, coda, foreach
CRAN Task Views implied by cited CRAN packages: Finance, Bayesian, TimeSeries, Econometrics, Environmetrics, gR, HighPerformanceComputing

@article{RJ-2010-014,
  author = {David Ardia and Lennart F. Hoogerheide},
  title = {{Bayesian Estimation of the GARCH(1,1) Model with Student-t
          Innovations}},
  year = {2010},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2010-014},
  url = {https://doi.org/10.32614/RJ-2010-014},
  pages = {41--47},
  volume = {2},
  number = {2}
}