Dear all,
In line of research conducted by 2 colleagues and me for our thesis this year, we want to examine ?the importance higher moments: skewness and kurtosis of returns for VaR and cVaR estimation using GARCH for European Blue chips?.
First of all, we would like to thank Alexios Ghalanos for the package Rugarch, which is quite impressive and nice to use and Kris Boudt for explaining it on Datacamp. Some things we would like to examine further, that is: the method of implementing SGT density distribution for GARCH models. I know that there is the r package SGT. But the practical way of implementing it in R with GARCH models, does not seem clear to us at this point in time.
We look forward hearing from you. This is the first time I used the R-SIG-Finance list, so any comments are welcome for improvement.
Best regards,
Enjo Faes