[R-SIG-Finance] Estimation of an GARCH model with conditional skewness and kurtosis

Yohan Chalabi chalabi at phys.ethz.ch
Fri Feb 18 11:57:30 CET 2011

Hi Johannes,

You can start with the code I sent you on R-help  https://stat.ethz.ch/pipermail/r-help/2011-February/268953.html and

 * add the definition of skewness and kurtosis in the likelihood function
 * modify the conditional variance as defined in the paper
 * replace the normal probability function by the one defined in the paper.

You might get more help if you show us what you have tried.


On Feb 18, 2011, at 11:05 AM, Johannes Lips wrote:

> Hello,
> I'm quite new to R but tried to learn as much as possible in the last
> few months.
> My problem is that I would like to estimate the model of Leon et al. (2005).
> I have shortly summarised the most important equations in the following
> pdf file:
> http://hannes.fedorapeople.org/leon2005.pdf
> My main question is now how could I introduce these two additional terms
> into the Likelihood function of a(n) (existing) GARCH method.
> I looked into some GARCH packages but wasn't really sure where to start.
> I know that this is not really an easy task but I would be very grateful
> if you could help me out by giving me some hints on how to solve this
> problem.
> Thanks in advance!
> Johannes Lips
> P.S. I sent this e-mail also to the R-help mailing list but was told I
> should better send it to the finance-sig.
> https://stat.ethz.ch/pipermail/r-help/2011-February/268871.html
> 	[[alternative HTML version deleted]]
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PhD candidate
Swiss Federal Institute of Technology


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