cdf of skewed t distribution using fGARCH vs skewt package
Alex Chan wrote:
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?
Please read the posting guide. Include sample code and data if you want to maximize your chance of having someone help you figure out the (possible) problem you are having. Depending on the data, the length of your data set, the degree of skewness, the random seed, coding issues, and a whole bunch of other factors, guessing at what the possible problem is is unlikely to be very useful. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock