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I am looking to get started using time series (ARIMA, regression, etc.) evaluating logarithmic stock returns in WinBUGs.

Does anyone have a simple code to get me jump started?

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  • $\begingroup$ Try asking a more specific question. For something this general Google is probably a better bet. $\endgroup$ – russellpierce Mar 3 '13 at 22:42
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    $\begingroup$ Seems like a reasonable question. Only the 'etc' makes it really vague. 'What should I read on' and 'Where can I find code to do' questions seem to be pretty regularly asked and answered. $\endgroup$ – conjugateprior Mar 4 '13 at 9:08
  • $\begingroup$ Are you sure you want to use WinBUGS? There are many alternatives that do ARIMA, ARCH, GARCH, etc. So my question is: are you wanting to do ARIMA, et al, or are you specifically looking for Bayesian tools to do ARIMA, et al, or are you definitely interested in WinBUGS? $\endgroup$ – Wayne Mar 18 '13 at 16:21
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Congdon covers time series models (and WinBUGS code) in a chapter in his Applied Bayesian Modelling book.

Alternatively, BUGS code for some time series models can be produced in my tsbugs package for R (and then run in BUGS via R2WinBUGS or similar such packages). Some of these are applied to the log of stock returns in the example code.

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