[R] About the Skew Student distribution

From: pierre clauss <pierreclauss_at_yahoo.fr>
Date: Wed 06 Sep 2006 - 15:27:39 GMT

Hello everybody,
I need your help about the package SN and the skew student distribution. Il will be very grateful if I have the solution.  

I construct a stochastic model with a white noise not gaussian but following a skew student distribution. I fit the noise on monthly data to obtain the four parameters. The question is : how to annualize the parameters to use my model for simulate daily data for example ?  

If the volatility is estimated to 3 for example, I need to multiply this by sqrt(12) to have for the parameter of volatility of the skew student : 3*sqrt(12)*sqrt(dt) with "dt" the time increment parameter (1/12 for monthly data, 1/261 for daily data, and so on). Do I do the same thing (and what is the multiplicative factor ?) for the parameters of asymmetry and the degree of freedom ?  

Thanks a lot !
Best regards  


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