  The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the
generalized autoregressive conditional heteroscedasticity (GARCH) model. The
HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it
updates all parameters at once. We demonstrate that how the HMC reproduces the
GARCH parameters correctly. The algorithm is rather general and it can be
applied to other models like stochastic volatility models.
