> Can garch function fit also t-innovations or only Gaussian innovations?
The latter -- Adrian's code uses analytic gradients, and those are always tied to the particular distribution of innovations for which they were derived. You could of course do the legwork of coding this for the t-dist, IIRC an old Bollerslev paper has all/most of the math, release it as a (GPL'ed) patch and thereby secure your claim to fame as another co-author of tseries. Dirk (who has a more modest patch in tseries) -- According to the latest figures, 43% of all signatures are totally worthless. ______________________________________________ [EMAIL PROTECTED] mailing list http://www.stat.math.ethz.ch/mailman/listinfo/r-help
