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Estimating GARCH Modeling Using Metropolis-Hastings Method in R
School of Mathematical Sciences, Xiamen University, Xiamen, China
School of Mathematical Sciences, Guizhou Normal University, Guiyang, China
- 1 School of Mathematical Sciences, Xiamen University, Xiamen, China
- 2 School of Mathematical Sciences, Guizhou Normal University, Guiyang, China
Open Journal of Statistics·Volume 08 (2018)·Pages 931–938·Published 14 November 2018·DOI10.4236/ojs.2018.86062
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Abstract
This paper mainly talk s about a popular approach of volatility of a GARCH-type model in R, while the disturbances are independent and have identical Student-t distribution. It uses the Metropolis-Hastings method to perform the computations and gives the programs in details in R.
KeywordsStudent’s <i>t</i>DistributionDegree of FreedomGARCH t ModelRMetropolis-Hastings Method
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