Message-ID: <645496.58599.qm@web30811.mail.mud.yahoo.com>
Date: 2007-04-28T14:26:24Z
From: Rich Ghazarian
Subject: Yet another GARCH-T question
What is the best way to fit a Student
T GARCH, I have looked at previous postings, and they require a formula
i.e.
garchFit(formula, data, init.rec = c("mci",
"uev"), delta = 2, skew = 1,
shape = 4, cond.dist = c("dnorm",
"dsnorm", "dged", "dsged", "dstd",
"dsstd"),....
Is there a quick way to get this done?
I have the following; How do I convert
it to a Student T GARCH
fit <- garch(GHRT, order=c(1,1))
I have tried the following and I can't
get it to work.
> garchFit(formula.var = ~garch(1,
1), series=GHRT, cond.dist ="dstd")
Error in .modelSeries(fake = FALSE,
lhs = TRUE) :
argument
"formula" is missing, with no default
Also I can not find help on the following.
GarchDistributionFits(fSeries) Parameter
Fit of a Distribution