Estimating GARCH Modeling Using Metropolis-Hastings Method in R - Open Journal of Statistics

OJS > Vol.8 No.6, December 2018

Estimating GARCH Modeling Using Metropolis-Hastings Method in R ()

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Download as PDF (Size: 2097KB) PP. 931-938

DOI: 10.4236/ojs.2018.86062 980 Downloads 2,237 Views Citations

Author(s)

Min Wang^1,2, Yunshun Wu^1*

Affiliation(s)

¹School of Mathematical Sciences, Guizhou Normal University, Guiyang, China.
²School of Mathematical Sciences, Xiamen University, Xiamen, China.

ABSTRACT

This paper mainly talks 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.

KEYWORDS

Student’s t Distribution, Degree of Freedom, GARCH t Model, R, Metropolis-Hastings Method

Share and Cite:

Wang, M. and Wu, Y. (2018) Estimating GARCH Modeling Using Metropolis-Hastings Method in R. Open Journal of Statistics, 8, 931-938. doi: 10.4236/ojs.2018.86062.

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