Hi, dear R users,
I'm a new user of R and especially in time series modelling. I would like to
know how to compute arch/garch model using innovations that are not normally
distributed (Student / swew-Student distriibuted).
The *garch* function in the time series fits "a Generalized Autoregressive
Conditional Heteroscedastic GARCH(p, q) time series model to the data by
computing the maximum-likelihood estimates of the conditionally normal
model."
What function/package should I use ?
Thanks !
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