[R-sig-finance] some doubts in garch models
Ricardo Zambrano Aguilera
Ricardo.Zambrano at corpbanca.cl
Fri Feb 24 17:02:23 CET 2006
Thank a lot mr Diethelm Wuertz and mr Patrick Burns my best regards..., but then i have another doubt... and it is a big
if my data... the exchange rate (dollar (USA) - peso(Chile)), between 1-1-2001 - 12/12/2005, (i´m working with the log-returns), my first intention is to aplly an ARMA -GARCH , but their Kurtosis is 1.182 < 3, ¿ can i use an garch modelling??? , because sometimes ,like the 40% , when i did simulate garch procces ( i made like 1200 obs) , the kurtosis is nongreater to 3??
atte a ustedes Ricardo Zambrano Aguilera
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