[R] how to compute a garch model with t innovations ?

From: Benoit Chemineau <benoitchemineau_at_gmail.com>
Date: Fri, 15 Jun 2007 17:19:16 +0200

Hi, dear R users,

I'm a new user of R and especially in time series modelling. I would like to know how to compute arch/garch model using innovations that are not normally distributed (Student / swew-Student distriibuted). The *garch* function in the time series fits "a Generalized Autoregressive Conditional Heteroscedastic GARCH(p, q) time series model to the data by computing the maximum-likelihood estimates of the conditionally normal model."

What function/package should I use ?

Thanks !

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