Hi, Yes, you have a wide choice of skewed and shaped distributions which are covered in detail in the vignette.
As to the expansion, I'm a little busy right now to look at this but feel free to contribute an enhancement if you are able to. Best, Alexios > On 19 May 2014, at 20:36, PoddyOne <pad...@gmail.com> wrote: > > Hi Alexios > > After having (somewhat) digested the link you sent me to the seasonal > variance models in your package, I'm under the impression that the > conditional distribution is still restricted to being normally distributed > (with varying variance)? I was hoping to use a skewed-normal as the > conditional distribution at certain times of day. > > Another thing is that at the bottom of the page you say: > > " Another possible direction for expansion would be to treat the diurnal > effect separately for each day of the week." > > This is an interesting idea, and is something I thought about, but was a > little uneasy about the ideas that popped into my head about how to go about > this. For example, one simple approach might be (at least in my case) to > transform each hour of the diurnal cycle separately to try and match the > conditional distributions as closely as possible. However, this seems like > it would leave to an overly complicated model. > > Cheers > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/Changing-seasonal-conditional-distribution-in-a-fGarch-model-tp4690850p4690858.html > Sent from the Rmetrics mailing list archive at Nabble.com. > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.