Displaying 2 results from an estimated 2 matches for "garch_t".
2006 Nov 22
2
problems with garchFit
...t[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$est[4]),
-.25, .15, add = TRUE, col=3)
library(fSeries)
#normal innovation
garch_norm <- garchFit(series = logr, include.mean = F)
#t inovation
garch_t <- garchFit(series = logr, cond.dist = 'dstd', include.mean = F,
include.shape = T)
garch_t1 <- garchFit(series = logr, cond.dist = 'dstd', include.mean = F,
shape = t_fit$est[3], include.shape = T)
#skew normal innovation
garch_snorm <- garchFit(series = logr, cond.dist =...
2006 Nov 22
0
questions about garchFit
...t[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$est[4]),
-.25, .15, add = TRUE, col=3)
library(fSeries)
#normal innovation
garch_norm <- garchFit(series = logr, include.mean = F)
#t inovation
garch_t <- garchFit(series = logr, cond.dist = 'dstd', include.mean = F,
include.shape = T)
garch_t1 <- garchFit(series = logr, cond.dist = 'dstd', include.mean = F,
shape = t_fit$est[3], include.shape = T)
#skew normal innovation
garch_snorm <- garchFit(series = logr, cond.dist =...