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

Patrick Burns patrick at burns-stat.com
Fri Feb 24 20:40:05 CET 2006

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
(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
>R-sig-finance at stat.math.ethz.ch mailing list

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