[R] How to fit a non-normal-dist.-GARCH() time series?

user84 roland.taber at gmx.at
Fri Sep 23 16:16:26 CEST 2011


Hi,

i think the right to fit a GARCH-model is to use garchFit of the fGARCH
package. My problem is that the time-series is definitly not normal
distributed. So i can not use the "QMLE" method. How can i do it right?

thanks
Roland

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