Dear Sir:

Sorry for bothering you all. I am working on garch estimation using rgarch
package assuming a generalized hyperbolic distribution. As I know,
the number of estimated parameters of GH should have five paramters.
However, I checked the output and found only three paramters: dlambda, skew
and shape. Is it because the standardization of the GH by letting the mean
and variance to be 0 and 1? To meet these two requirements, those paramters
should at least have some values there. How can I extract the estimated
values for all five parameters? What does dlambda represent? I want to
extract those values as I need to calculate the VaR values by the model,
which is still unclear to me how to use rgarch to calculate VaR. Enclosed is
the code for testing.

Appreciate for any help from you.

Best regards,

Shyh-Weir Tzang


#
library(rgarch)

data(dji30ret)
spec = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean =
TRUE), variance.model = list(model = "sGARCH"), distribution.model = "ghyp")
fit.dji=ugarchfit(spec,data=dji30ret[,"AA"], out.sample=1000)

> coef(fit.dji)
           mu         omega        alpha1         beta1
dlambda          skew         shape
 5.218311e-04  2.906185e-06  3.720127e-02  9.555983e-01 -3.553546e+00
6.324228e-01  2.500494e-01
#####

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