[R-SIG-Finance] test for the change in the parameters in t-GARCH model

[Brian G. Peterson]

On Mon, 2012-02-27 at 03:10 +0000, LINJUAN wrote:
> I fit a AR(1), t-GARCH(1,1) model to the Yen-USD exchange rate from
> 1995 to 2004. 
>  
> I add a dummy variable to the model, which  takes the value zero in
> the pre-euro sample and one in the post-euro sample.
>  
> My question is how can I test whether the degree of freedom parameter
> changes following the introduction of euro?
> 
> Thanks,
> Juan Lin 

Since there is clearly no 'secret sauce' in this question, it would make
things easier for everyone else to help you if you posted a
*reproducible example*.


-- 
Brian