Estimating GARCH Modeling Using Metropolis-Hastings Method in R  

作　　者：Min Wang Yunshun Wu 

机构地区：[1]School of Mathematical Sciences, Guizhou Normal University, Guiyang, China [2]School of Mathematical Sciences, Xiamen University, Xiamen, China

出　　处：《Open Journal of Statistics》2018年第6期931-938,共8页统计学期刊（英文）

摘　　要：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.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.

关 键 词：Student’s t Distribution DEGREE of FREEDOM GARCH t Model R METROPOLIS-HASTINGS METHOD 

分 类 号：O1[理学—数学]