[R] GARCH with t-innovations

Dirk Eddelbuettel edd at debian.org
Fri Feb 21 16:47:03 CET 2003

> Can garch function fit also t-innovations or only Gaussian innovations?

The latter -- Adrian's code uses analytic gradients, and those are always
tied to the particular distribution of innovations for which they were 
derived.  You could of course do the legwork of coding this for the t-dist, 
IIRC an old Bollerslev paper has all/most of the math, release it as a 
(GPL'ed) patch and thereby secure your claim to fame as another co-author
of tseries.

(who has a more modest patch in tseries)

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