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

[Patrick Burns]

Your Kurtosis is actually excess kurtosis:

 > mean(((dolpeso - mean(dolpeso))/sd(dolpeso))^4)
[1] 4.182083

(Ricardo sent me the data privately.)

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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