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2007 Jul 19
1
Questions regarding R and fitting GARCH models
...my
GARCH error term should follow a student's t distribution, preferrably
skewed; the sstdFit function returns nu=2.002 and xi=1.012. I know
that for this distribution 2 degrees of freedom means the second,
third and fourth moment are not defined; however, the QQ plot looks
good -had to use the skwt package though, because rsstd didn't work-
so I decided to give it a try.
1) That didn't go all to well. garchFit returns alpha1 and beta1 of
0.1 and 0.8 respectively (and beta1 has a standard error of NaN) -
which are not consistent at all with what EViews reported. How is this
possible?...