[R] fGarch package for Student-t Garch

nserdar snes1982 at hotmail.com
Sat Feb 25 00:05:59 CET 2012


Hi 


Rt<-garchFit(formula=~garch(1,1),include.mean=FALSE,data=
X2,cond.dist=c("std"))       # Student-t Garch. 

I got the this output 

      omega               alpha1                 beta1                 shape 
0.0001027529 0.0519514447    0.8887136602    5.6843302645 

I use above formulation to calculate the time-varying variance for Student-t
Garch. 


        Var(t)= omega + alpha*(return(t-1)^2)+beta*(var(t-1)) 
        
Should I use the shape parameter in my Garch-student T volatility forecast ?
( Or need another parameter?) 

How to use these parameters estimation for  time-varying variance for Garch-
Student t ? 

Regards, 
Ser 

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