[Rd] Modiefied GJR & Time Varying Skewed-t

Diana Glaeser Diana.Glaeser at mailbox.tu-dresden.de
Thu Jul 27 12:31:19 CEST 2006


I have to calculate some  GARCH models, especially I need to compute a GJR which
I need to modify (add another covariable and a dummy). In addition to this I
will use a Skewed Student´s - t, for which I have to model the kurtosis and the
skewness parameter as a function of the conditional time varying variance.
Hence, in this model there are two feedback mechanisms included. Can I when
programming modify the distribution function of the skewed t or is this a
predefined code? I´ve read on one of your websides, that you work on versions
of fSeries to be more flexible to compute other than standard Grach models.
Please can you answer this letter? It ist very important for me since I work on
my thesis.
Thanks a lot,

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