Bayesian Analysis in GJR-GARCH (p, d) model with Student-t innovations

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Bayesian Analysis in GJR-GARCH (p, d) model with Student-t innovations

RESA MAE SANGCO
Good day Ma'am/Sir, I am Resa Mae R. Sangco a Master of Statistics student
from the MSU- Iligan Institute of Technology located in Iligan City,
Philippines. I am currently doing my thesis entitled “Bayesian Analysis in
GJR-GARCH (p,d) model with Student-t innovations". In finding my posterior
distribution since it is hard to integrate, I use Markov Chain Monte Carlo
simulation particularly the Metropolis-Hasting Algorithm. Now, I search a
package in R but I only found a package ‘bayesGarch’  which performs the
Bayesian estimation of the GARCH(1,1) model with Student-t innovations. In
line with this, I would like to ask if there is a package/function exist in
the Bayesian estimation in the GJR-GARCH(p,d) model with student-t
innovation. Your response is highly appreciated. Thank you!

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