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? Alex
sstd means standardized skew student-t, the first s is important. in the student-t the number of degrees of freedom is related to the variance, so you cannot use the usual student t. you need a reformulated distribution for which the variance is always 1 and a proper nu which does not change the variance. This does the sstd. Diethelm
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