[R-SIG-Finance] garch vs garchFit - minimum sample size

[Yohan Chalabi]

>>>> "SG" == Spencer Graves <spencer.graves at pdf.com>
>>>> on Fri, 15 Feb 2008 07:51:22 -0800

   SG> If you haven't already, could you please add descriptions of the
   SG> arguments delta, skew and shape to the help page:  How are
   SG> they defined,
   SG> e.g., relative to what distribution -- and which parameterization
   SG> of
   SG> that distribution?  For example, are these passed to documented R
   SG> function(s)?  Also or alternatively, can you site a relevant
   SG> Wikipedia
   SG> article?
   SG> 
   SG> In particular, can Student's t be obtained as a special case?  I
   SG> need this for my work with the FinTS package.

Hi Spencer,

Please have a look at the help pages of the dev-version of fGarch
(https://svn.r-project.org/Rmetrics/trunk/fGarch). The
paragraph "GARCH Processes with non-normal distributions"
in ?garchFit presents an example with  Student's t conditional 
distribution.

Yohan