RUGARCH distribution selection

Thu, Jun 28, 2012 9:14 AM

Hi all,

I am wondering whether there is a way to modify the distributions used by
the distribution.model method in rugarch. Specifically, how can I change the
kurtosis of the distribution used (change the degrees of freedom in the
student distribution)? My goal is to fit a model with slightly fatter tails.

Thanks in advance,
Stoyan

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Stoyan Stoyanov
The University of Chicago Booth School of Business
MBA Class of 2013
(312) 532-0120 | stoyanov at chicagobooth.edu
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RUGARCH distribution selection

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