[Rd] Modiefied GJR & Time Varying Skewed-t

From: Diana Glaeser <Diana.Glaeser_at_mailbox.tu-dresden.de>
Date: Thu 27 Jul 2006 - 10:31:19 GMT


Hello,

I have to calculate some GARCH models, especially I need to compute a GJR which I need to modify (add another covariable and a dummy). In addition to this I will use a Skewed Studentīs - t, for which I have to model the kurtosis and the skewness parameter as a function of the conditional time varying variance. Hence, in this model there are two feedback mechanisms included. Can I when programming modify the distribution function of the skewed t or is this a predefined code? Iīve read on one of your websides, that you work on versions of fSeries to be more flexible to compute other than standard Grach models. Please can you answer this letter? It ist very important for me since I work on my thesis.
Thanks a lot,
Diana



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