[R-SIG-Finance] gogarch with multivariate t distribution

[alexios ghalanos]

The short answer is NO.

The student and (gh) skew student are nested in the magh under 
appropriate parameter restrictions e.g. setting [gh]\lambda to 
-[student]shape/2 (with appropriate bounds on shape) and [gh]\beta->0 
(for student) or [gh]\beta->|[gh]\alpha| (for gh skew student)...search 
google for 'Prause Generalized Hyperbolic' for more details.

However, the representation in rmgarch is of the standardized magh 
([sgh]\rho,[sgh]\zeta parameterization) which means you'd need to amend 
the code for this particular case...given that it's open source, it 
should be a 'breeze'.

Alexios


On 03/01/2015 21:45, jun wang wrote:
> Dear all,
>
> Is there anyway to estimate the GOGARCH model with multivariate student t
> distribution errors in the *rmgarch* package in R? The rmgarch package for
> estimating gogarch model only covers "mvnorm",multivariate affine NIG
> (“manig”) and GHYP (“magh”).
>
> Any hints would be very appreciated.
>
> Thanks,
> Jun
>
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>
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