TITLE:
Estimating GARCH Modeling Using Metropolis-Hastings Method in R
AUTHORS:
Min Wang, Yunshun Wu
KEYWORDS:
Student’s t Distribution, Degree of Freedom, GARCH t Model, R, Metropolis-Hastings Method
JOURNAL NAME:
Open Journal of Statistics,
Vol.8 No.6,
December
20,
2018
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.