[R] Re: R-help Digest V2 #275

Adrian Trapletti adrian at olsen.ch
Wed Nov 29 09:42:17 CET 2000

R-help Digest wrote:

> Date: Tue, 28 Nov 2000 08:20:43 +0100
> From: "Muhammad Rashid Ahmed" <rahmed at julian.uwo.ca>
> Subject: [R] Fitting of Garch Model in R [forwarded]
> This accidentally (;-) didn't go to the R-help mailing list ..
> - ----
> -- start of forwarded message -------
>  To: <maechler at stat.math.ethz.ch>
>  Date: Mon, 27 Nov 2000 21:50:23 -0800
> Dear Sir,
> I know you are so busy and I would be highly appreciate you if you can
> answer my question regarding to fitting of Garch Model.
> Question:
> How can I change the innovation in Garch fitting from Normal to
> T-dist. According to my understanding I could not find any option to change
> the distribution of innovation from normal to T-Dist or any other dist..

Dear Muhammad

Unfortunately you cannot, and I also do not plan to include this feature in the near future because leaving
conditional normality in fitting the GARCH model is quite a business.

However, even if the data generating process is not conditionally normal you get consistent estimates under
quite general conditions. If you are further interested in the conditional distribution, you can, e.g.,
analyze the residuals of the GARCH model like estimating the degrees of freedom for a t-distribution...



Adrian Trapletti, Olsen & Associates   Ltd., See-
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Phone: +41 (1) 386 48 48   Fax: +41 (1) 422 22 82
E-mail: adrian at olsen.ch  WWW: http://www.olsen.ch

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