[R-SIG-Finance] rugarch NIG shape and skew parameters

[Andy Tang]

Hi Alex,

In your rugarch package, the garch+nig model has coefficients of 'skew' and 'shape'. These two parameters map to alpha_bar/beta_bar, not alpha/beta in the NIG parameter set, right?

Thanks
Andy

________________________________
Andy Tang, CFA
Quantitative Analyst
Morningstar, Inc.

Morningstar. Illuminating investing worldwide.

+1 312-384-4839 voice
andy.tang at morningstar.com<mailto:andy.tang at morningstar.com>


This e-mail contains privileged and confidential information and is intended only for the use of the person(s) named above. Any dissemination, distribution, or duplication of this communication without prior written consent from Morningstar is strictly prohibited. If you have received this message in error, please contact the sender immediately and delete the materials from any computer.



	[[alternative HTML version deleted]]