[R-SIG-Finance] rugarch package (sstd density function)

[alexios ghalanos]

The equation you refer to never said that "f()" is the "standardized" 
student distribution. The trick was to take that equation in their paper 
and derive a standardized form for the skew student which is implemented 
in the package (zero mean and unit variance)...which is why the moment 
equations (for standardization) are also provided on that same page. 
This means that you cannot just replace the student with the 
standardized student in the equation.

The full code/equations can be found in 'distributions.c' file of the 
source, which means you should be able to figure out for yourself the 
details.

One final thing: You emailed me using a different gmail address than the 
one you are posting to this mailing list which makes me suspect that 
they are all just aliases (and I could not connect either of them to an 
actual individual). In future, I will not reply to any address which I 
cannot, with a minimal google search, trace to an actual person.

Regards,

Alexios



On 20/07/2013 22:49, W S wrote:
> Hello,
>
> I have a question about the formula of the density function for "sstd"
> distribution implemented in rugarch package.
>
> For example, assuming:
>> z=-1
>> g=2
>> v=3
> shouldn't the formula:
>> 2/(g+g^(-1)) * ddist("std", y=(g*z), mu=0, sigma=1, shape=v)
> return the same result as:
>> ddist("sstd", y=z, mu=0, sigma=1, skew=g, shape=v)
>   according to the transformation (58) presented in "Introduction to the
> rugarch package (Version 1.2-1)" (page 15)?
>
>   I'm getting different results... perhaps because I don't understand
> correctly the mechanism of obtaining the "sstd" density.
>   What formula should I use then, if I want to obtain "sstd" density using
> the "std" density function?
>
> Best regards,
> Weronika
>
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>