[R-SIG-Finance] marginal model with AR-t-GARCH model

[Diethelm Wuertz]

Joe W. Byers wrote:

Use:

require(fSeries)

garchFit(formula.mean = ~arma(1, 0), formula.var = ~garch(1, 1), series 
= x, cond.dist ="dstd")

for an AR(1)-t-GARCH(1,1) model

Important: You have to use the standardized t-distribution dstd(), the 
usual dt() gives wrong results!

DW

>Xiaochen Sun wrote:
>  
>
>>Dear list,
>> 
>>I am now dealing with the time series data from electricity market, regarding the marginal modelling I wonder how to fit data with AR-t-GARCH model in R or S-plus.
>> 
>>Many thanks.
>> 
>>With regards
>>Mc
>>
>>    
>>
>MC
>
>I think you will have to define your own LL function and call optim to 
>fit the AR t Garch model.  I'm not sure it is in fseries.  I am working 
>on a GED distribution Garch myself for commodities.  The documentation 
>on rmetrics website for Garch modelling has a example of the LL function 
>and the call to optim to fit the data as well as the code to calc SE, 
>Tstats, and Pvalues of the parameter estimates.
>
>Are you fitting daily, hourly or other data? and what power market?
>
>Good luck
>Joe
>
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