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

Andy Tang Andy.Tang at morningstar.com
Thu Jul 2 21:29:17 CEST 2015

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?


Andy Tang, CFA
Quantitative Analyst
Morningstar, Inc.

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