GARCHGIBBS—Gibbs Sampling Analysis of GARCH Model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

GARCHGIBBS—Gibbs Sampling Analysis of GARCH Model

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GARCHGIBBS.RPF is an example of Metropolis-Hastings applied to a univariate GARCH model.

Detailed Description

haversample.rat
Data file (included in RATS v8 distribution)
(223 KiB) Downloaded 934 times


Last bumped by TomDoan on Fri Aug 02, 2024 11:52 am.
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