[R-SIG-Finance] skew normal cond.dist in fGarch::garchFit

Valentin Dimitrov vsdimitrov at yahoo.com
Tue Jun 2 14:07:12 CEST 2009

Dear all,

I am trying to use the skew normal distribution as conditional distribution under the garchFit function. I estimate the parameters using garchFit and the parameter governing the skewness is "skew". 

My question is: how to interpret that parameter skew? is this the shape parameter of a skew normal distribution (0 for standard normal) or is this something else (if so, what's the value of skew for the standard normal?)

Thank you in advance for your help.

Best regards,



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