[R-SIG-Finance] rmgarch package

[Amit Mittal]

You chose a distribution.model with non normal parameters these are
variously v degrees in students t lambda and delta available in any
standard book on the models the model expression changes with these values
affecting shape and skew.

The actuals realised based on these paramagnetic are the ones later
reported. Rmgarch chooses all the defaults for you.

BR

On Tue 28 Aug, 2018, 00:04 somaye mohebbi via R-SIG-Finance, <
r-sig-finance using r-project.org> wrote:

> ​​Hello Master
> I'm financial mathematics student and I am working on a project using
> mvgarch and copulas.
> So, I find your rmgarch package very usefull in my work.
> First of all I want to thank you because of this usefull and applicable
> package,
> then I have a quastion.I will be appreciate if you answer me.
> when using cgarchsim , first we should specify time series in rugarch,and
> fit them with real datas then simulate in rmgarch.
> It,s very important for me to know kurtosis and skewness of my simulated
> datas.
> in sim1 using model$mpars there are stimated values and in it I see shape and
> skew.
> Is it degree of freedom and skewness for simulated datas?
> It,s different from skewness(sim1 using model$modeldata$data).
> and there is no thing to show kurosis of datas.
> I use dskewness and  3+dkurtosis to calculate these two features.Again
> It,s different.
> I,m confused.would you help me.
> Thanks a million
>
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Amit Mittal
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Indian Institute of Management, Lucknow
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