From: pierre clauss <pierreclauss_at_yahoo.fr>

Date: Wed 06 Sep 2006 - 15:27:39 GMT

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Thu Sep 07 01:30:18 2006

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

Pierre.

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