
I fit a AR(1), t-GARCH(1,1) model to the Yen-USD exchange rate from 1995 to 2004. 
 
I add a dummy variable to the model, which  takes the value zero in the pre-euro sample and one in the post-euro sample.
 
My question is how can I test whether the degree of freedom parameter changes following the introduction of euro?

Thanks,
Juan Lin
 		 	   		  
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