[R-SIG-Finance] Changing (seasonal) conditional distribution in a fGarch model

[alexios ghalanos]

Hi,

Try reading this:
http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/
You’ll have to switch to using rugarch, but hopefully it should not be too much of a sacrifice...

Alexios

On 19 May 2014, at 23:10, PoddyOne <padarn at gmail.com> wrote:

> Hi there, 
> 
> I'm working with a time series that has a clear seasonal component in it's
> conditional distribution. Not only does the variance increase at certain
> parts of the seasonal cycle, but also the distribution becomes skewed.
> 
> I would like to fit an fGarch model to this time series, but with a
> conditional distribution which depends on a dummy variable. I was wondering
> if anyone knew if this was possible in fGarch or any of the similar
> packages?
> 
> /(As an aside, I recognise that this may not be the easiest way to go about
> modelling this. For a little more detail: This is a time series with a
> strong diurnal cycle in it. The series has been 'detrended' and is
> stationary at least under the usual metrics. However, still clearly during
> the midnight hours, the residuals are strongly positively skewed. I have
> tried transforming the series, but the large disparity in both the skew and
> scale see to prohibit this working nicely.
> 
> Any other suggestions are welcome)/
> 
> 
> 
> --
> View this message in context: http://r.789695.n4.nabble.com/Changing-seasonal-conditional-distribution-in-a-fGarch-model-tp4690850.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
> 
> _______________________________________________
> 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.
>