[R-SIG-Finance] Fitting a generalised student t distribution

[Valentin Popov]

Hi,

Is there a way to fit a symmetric generalised student t distribution to data without writing your own function? The sgt package offers the function sgt.mle but I didn't find an option of fixing lambda to be zero.

Additionally, is it possible to fit a GARCH model with a generalised t distribution for the innovations? The rugarch package doesn't seem to offer this option.

Thank you!

Valentin

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