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70014
2012 Oct 22
1
Egarch (1,1) with Student t distribution using rugarch
Hi
I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value.
Following were the commands that I was using:
library(rugarch)
spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
fit=ugarchfit(data=b,spec=spec)
sigma(fit)
May I