[R-sig-finance] [QUAR] Re: some doubts in garch models
timh at insightful.com
Thu Mar 2 23:10:41 CET 2006
Note that different people use different terminology.
The terminology I see most is:
kurtosis = E((X-mu)^4) / var(X)^2 - 3
With this terminology, kurtosis > 0 indicates longer tails than Gaussian.
The S-PLUS kurtosis function computes this kurtosis.
excess kurtosis = E((X-mu)^4) / var(X)^2 - 3
kurtosis = E((X-mu)^4) / var(X)^2
| Tim Hesterberg Research Scientist |
| timh at insightful.com Insightful Corp. |
| (206)802-2319 1700 Westlake Ave. N, Suite 500 |
| (206)283-8691 (fax) Seattle, WA 98109-3012, U.S.A. |
| www.insightful.com/Hesterberg |
>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 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
More information about the R-sig-finance