[R-SIG-Finance] RUGARCH distribution selection

[alexios ghalanos]

If you do not want the conditional excess kurtosis of the student 
distribution (equal to 6/(shape-4)) to be calculated by maximum 
likelihood, then you can fix the shape parameter (shape a.k.a. "d.o.f" 
in Student) using the fixed.pars option, subject to it being >2.

e.g. ugarchspec(distribution.model="std", fixed.pars=list(shape=4.1))

-Alexios

PS see also the 'dkurtosis' and 'dskewness' functions to help you 
translate distributional parameters to higher moments.

On 28/06/2012 17:14, stoyan.stoyanov wrote:
> Hi all,
>
> I am wondering whether there is a way to modify the distributions used by
> the distribution.model method in rugarch. Specifically, how can I change the
> kurtosis of the distribution used (change the degrees of freedom in the
> student distribution)? My goal is to fit a model with slightly fatter tails.
>
> Thanks in advance,
> Stoyan
>
> -----
> Stoyan Stoyanov
> The University of Chicago Booth School of Business
> MBA Class of 2013
> (312) 532-0120 | stoyanov at chicagobooth.edu
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