[R-SIG-Finance] cdf of skewed t distribution using fGARCH vs skewt package
spencer.graves at prodsyse.com
Tue Aug 18 18:02:56 CEST 2009
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Brian G. Peterson wrote:
> Alex Chan wrote:
>> I ran a AR(p)-GARCH (1,1) - skewed t using the fGARCH package. When I
>> tried to use the sstd option in fgarch to return the cdf of the
>> standardized residuals z and compared it with the results obtained
>> using the skewt package, I obtained different results even though
>> both skewed t dist are based on Fernandez and steel. Since the
>> standardized inovations are supposed to be iid with mean o and
>> variance 1, i used psstd(z, mean = 0, sd = 1, nu , xi ). Anyone can
>> explain why this might be the case?
> Please read the posting guide. Include sample code and data if you
> want to maximize your chance of having someone help you figure out the
> (possible) problem you are having.
> Depending on the data, the length of your data set, the degree of
> skewness, the random seed, coding issues, and a whole bunch of other
> factors, guessing at what the possible problem is is unlikely to be
> very useful.
> - Brian
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
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