[R] GARCH with t-innovations
edd at debian.org
Fri Feb 21 16:47:03 CET 2003
> Can garch function fit also t-innovations or only Gaussian innovations?
The latter -- Adrian's code uses analytic gradients, and those are always
tied to the particular distribution of innovations for which they were
derived. You could of course do the legwork of coding this for the t-dist,
IIRC an old Bollerslev paper has all/most of the math, release it as a
(GPL'ed) patch and thereby secure your claim to fame as another co-author
(who has a more modest patch in tseries)
According to the latest figures, 43% of all signatures are totally worthless.
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