[R-SIG-Finance] Yet another GARCH-T question
rich7804 at yahoo.com
Sat Apr 28 16:26:24 CEST 2007
What is the best way to fit a Student
T GARCH, I have looked at previous postings, and they require a formula
garchFit(formula, data, init.rec = c("mci",
"uev"), delta = 2, skew = 1,
shape = 4, cond.dist = c("dnorm",
"dsnorm", "dged", "dsged", "dstd",
Is there a quick way to get this done?
I have the following; How do I convert
it to a Student T GARCH
fit <- garch(GHRT, order=c(1,1))
I have tried the following and I can't
get it to work.
> garchFit(formula.var = ~garch(1,
1), series=GHRT, cond.dist ="dstd")
Error in .modelSeries(fake = FALSE,
lhs = TRUE) :
"formula" is missing, with no default
Also I can not find help on the following.
Fit of a Distribution
More information about the R-SIG-Finance