[R-SIG-Finance] cdf of skewed t distribution using fGARCH vs skewt package

spencerg spencer.graves at prodsyse.com
Tue Aug 18 18:02:56 CEST 2009

The posting guide is NOT distributed with R-SIG-Finance but is with 
r-help:  It's "www.R-project.org/posting-guide.html".  sg

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.
> Regards,
>   - Brian

Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph:  408-655-4567

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