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. $\endgroup$– russellpierceCommented Mar 3, 2013 at 22:42
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1$\begingroup$ 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. $\endgroup$– conjugatepriorCommented Mar 4, 2013 at 9:08
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$\begingroup$ 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? $\endgroup$– WayneCommented Mar 18, 2013 at 16:21
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1 Answer
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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.
