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Dear list, In fitting a two-component Student's t mixture distribution to some data (standardized GARCH residuals) one of the components has an estimated degree of freedom of 0.6. This means that even the first moment of the...

Dear R community, in order to get a formula for the kurtosis of a mixture distribution with noncentral scaled student t components I need to get some raw moments of the components (which will then be applied to the law...

Dear all, I'm working with the really nice "rugarch"-package and currently have an issue with respect to the news impact curves (NIC). In an attempt to plot several NIC into the same plot I realized that while the...

Dear R-Users and Contributors, to back out a Value at Risk quantile from a student t mixture distribution need to utilize standardized student t distributions (mean zero, unti variance). However, there seems to be an issue when working with...

A final remark with respect to the expected shortfall: The formula (p.133 IV.2.90) in the book of Alexander is not right either. There are some helping analytical formulas for the ES in a book of Cizek, H...

Dear all, I`ve set up a double loop which loops through different GARCH-orders and ARMA-orders in a rugarch estimation (of several models and error distributions) and each time writes the AIC and other information into a data...

I guess that the problem is due to the processing in C as part of the ugarchfit routine. Is there any way to timeout a ugarchfit command or to constrain the number if iterations? At one time the loop seems...

Once again many thanks, Alexios! It was not clear to me that the solvers are contained in separate packages with separate manuals. I still have got three questions QUESTION 1: I`ve experimented a bit with the outer.iter and...

In the context of question2 I was actually looking for a model that does NOT converge. But in being so focussed on the ways to handle long convergence times I indeed picked a totally meaningless model which is a bit...

Dear R community, I`d like to extract the parameters of a two-component mixture distribution of noncentral student t distributions which was fitted to a one-dimensional sample. There are many packages for R that are capable of handling...

Dear all, in the context of a scenario analysis framework I manually selected some quiet and some stressful periods in the last 25 years of DAX returns. Now I wish to confirm this choices by means of a change-point...

Many thanks Alexios!! 1. In my TGARCH setup nlminb doesn`t converge even at smaller GARCH order. So I will stick to solnp then. 2. Unfortunately I couldn`t find the correct command which limits the number of iterations via...

After having slept on it for a nightI now think that both the fGARCH submodels (I am especially interested in the NAGARCH) and the eGARCH model have a NIC that has to be expressed in terms of the z_{t...

Thanks a lot, Alexios! I have corrected this issue. The result is the same, though. I forgot to mention that the RUGARCH-package is required to run the code. At the moment I try to find the error in either...

Finally things are clear. R users who want to work with a Student t mixture distribution in the context of Value at Risk or Expected Shortfall can feel safe to use an implementation similar to the one given below (in...