I ran a AR(p)-GARCH (1,1) - skewed t using the fGARCH package. When I tried to use the sstd option in fgarch to return the cdf of the  standardized residuals z and compared it with the results obtained using the skewt package, I obtained different results even though both skewed t dist are based on Fernandez and steel. Since the standardized inovations are supposed to be iid with mean o and variance 1, i used   psstd(z, mean = 0, sd = 1, nu , xi ). Anyone can explain why this might be the case? 

Alex 



      
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