search for: dsnorm

...t is probabaly usual for the data. But when I play with it, I got another question. I plot skew normal with skew = 1 and a standard normal, they overlap eachother, so I think they are the same. Skew = 1 means no skewness (I can not find the paper defining the distribution). library(fSeries) curve(dsnorm(x, 0, 1, 1), -2, 2, add = F, col = 'red') #skew normal with skew 1 curve(dnorm(x, 0, 1), -2, 2, add = T, col = 'blue') #normal Then I try them as innovations, #normal innovation garch_norm <- garchFit(series = logr, include.mean = F) #skew normal innovation #this line do not...

...lim = c(0, 12), breaks = 'FD') norm_fit <- normFit(logr) curve(dnorm(x, norm_fit$est[1], norm_fit$est[2]), -.15, .15, add = TRUE, col=2) t_fit <- stdFit(logr) curve(dstd(x, t_fit$est[1], t_fit$est[2], t_fit$est[3]), -.15, .15, add = TRUE, col=6) snorm_fit <- snormFit(logr) curve(dsnorm(x, snorm_fit$est[1], snorm_fit$est[2], snorm_fit$est[3]), -.25, .15, add = TRUE, col=4) st_fit <- sstdFit(logr) curve(dsstd(x, st_fit$est[1], st_fit$est[2], st_fit$est[3], st_fit$est[4]), -.25, .15, add = TRUE, col=3) library(fSeries) #normal innovation garch_norm <- garchFit(series = logr...

I have some comments on the Fortran code in the fseries package in file 4A-GarchModelling.f , especially the subroutine GARCHFIT and function DSNORM. I appended the code to the end of an earlier message, but it was rejected by some rule. Let me first say that I am grateful that packages for financial econometrics exist in R. Fortran 77 had PARAMETERs, and PARAMETERs equal to 99999 and 200 should have been defined instead of repeatedly using &q...