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

[Alexios Ghalanos]

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
> 
> 
> 
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