[R-SIG-Finance] Changing (seasonal) conditional distribution in a fGarch model
Alexios Ghalanos
alexios at 4dscape.com
Tue May 20 10:18:52 CEST 2014
Hi,
Yes, you have a wide choice of skewed and shaped distributions which are covered in detail in the vignette.
As to the expansion, I'm a little busy right now to look at this but feel free to contribute an enhancement if you are able to.
Best,
Alexios
> On 19 May 2014, at 20:36, PoddyOne <padarn at gmail.com> wrote:
>
> Hi Alexios
>
> After having (somewhat) digested the link you sent me to the seasonal
> variance models in your package, I'm under the impression that the
> conditional distribution is still restricted to being normally distributed
> (with varying variance)? I was hoping to use a skewed-normal as the
> conditional distribution at certain times of day.
>
> Another thing is that at the bottom of the page you say:
>
> " Another possible direction for expansion would be to treat the diurnal
> effect separately for each day of the week."
>
> This is an interesting idea, and is something I thought about, but was a
> little uneasy about the ideas that popped into my head about how to go about
> this. For example, one simple approach might be (at least in my case) to
> transform each hour of the diurnal cycle separately to try and match the
> conditional distributions as closely as possible. However, this seems like
> it would leave to an overly complicated model.
>
> Cheers
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Changing-seasonal-conditional-distribution-in-a-fGarch-model-tp4690850p4690858.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.
>
More information about the R-SIG-Finance
mailing list