There are a number of GARCH models available in the fSeries package --
including models with t an skew-t distributions.
--Patrick
--
Patrick T. Brandt
Assistant Professor
Department of Political Science
University of North Texas
[EMAIL PROTECTED]
http://www.psci.unt.edu/~brandt
Tsvetelin Tsvetanski wrote:
Hallo,
I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R.
If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good estimated.
Matlab Toolbox for estimating EGARCH-processes "GARCH 2.0.2" is therefore better, but not free....
Well, the most things in life are not free, but knowledge must solve the problem.
Can you help me construct own EGARCH function wth t-distribution in R?
best regards
Tsvetelin Tsvetanski
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