[R-sig-finance] some doubts in garch models

[Patrick Burns]

Are you sure that you are getting kurtosis and not
excess kurtosis?  I've never seen market data that
weren't fat tailed.  If you have an example, I'm keen
to see it.

Using 'qqnorm' should give you a good visual clue.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Ricardo Zambrano Aguilera wrote:

>	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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