Hello everybody,
I need your help about the package SN and the skew student distribution. Il
will be very grateful if I have the solution.
I construct a stochastic model with a white noise not gaussian but following a
skew student distribution. I fit the noise on monthly data to obtain the four
parameters. The question is : how to annualize the parameters to use my model
for simulate daily data for example ?
If the volatility is estimated to 3 for example, I need to multiply this by
sqrt(12) to have for the parameter of volatility of the skew student :
3*sqrt(12)*sqrt(dt) with "dt" the time increment parameter (1/12 for monthly
data, 1/261 for daily data, and so on). Do I do the same thing (and what is the
multiplicative factor ?) for the parameters of asymmetry and the degree of
freedom ?
Thanks a lot !
Best regards
Pierre.
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