Benoit Chemineau
2007-Jun-15 15:19 UTC
[R] how to compute a garch model with t innovations ?
Hi, dear R users, I'm a new user of R and especially in time series modelling. I would like to know how to compute arch/garch model using innovations that are not normally distributed (Student / swew-Student distriibuted). The *garch* function in the time series fits "a Generalized Autoregressive Conditional Heteroscedastic GARCH(p, q) time series model to the data by computing the maximum-likelihood estimates of the conditionally normal model." What function/package should I use ? Thanks ! [[alternative HTML version deleted]]