[R] Re: GARCH with t-innovations

About this list Date view Thread view Subject view Author view Attachment view

From: Adrian Trapletti (adrian.trapletti@lmttrading.com)
Date: Mon 24 Feb 2003 - 21:39:40 EST


Message-id: <3E59F66C.F0F37CFD@lmttrading.com>


> Subject: [R] GARCH with t-innovations
> Date: 21 Feb 2003 14:07:44 +0100
> From: Gorazd Brumen <gbrumen@student.ethz.ch>
> To: r-help@stat.math.ethz.ch
>
> Dear all,
>
> Can garch function fit also t-innovations or only Gaussian innovations?
>
> --
> With kind regards -- Lepo pozdravljeni -- Grüße (Grüezi) --
>
> Gorazd Brumen
> -------------------------------
> Mail 1: gbrumen@student.ethz.ch
> Mail 2: gorazd.brumen@fmf.uni-lj.si
> Tel.: +41 (0)1 63 34906
> Homepage: valjhun.fmf.uni-lj.si/~brumen

The estimator provided by the garch function is the maximum likelihood estimator under conditional normality. Under conditional-nonnormality (e.g., t-distribution) the estimator is a quasi-maximum likelihood
estimator which is still consistent under certain (more restrictive than Gaussian case) assumptions. However, the standard errors as computed by the garch function are in the latter case not any more consistent.

For an overview see section 8 of the first citation in the help page of the garch function.

For practical purposes, that means you can fit a garch model with the garch function, take the residuals and fit, e.g., a t-distribution. This might be a consistent estimation procedure, however unless the residuals
are Gaussian not the ideal one.

best
Adrian

--
Dr. Adrian Trapletti             Phone :             +41 (0) 1 994 5631
Trapletti Statistical Computing  Mobile:             +41 (0)76 370 5631
Wildsbergstrasse 31              Fax   :             +41 (0) 1 994 5631
CH-8610 Uster                    Email :  mailto:a.trapletti@bluewin.ch
Switzerland                      WWW   : http://trapletti.homelinux.com

______________________________________________ R-help@stat.math.ethz.ch mailing list http://www.stat.math.ethz.ch/mailman/listinfo/r-help


About this list Date view Thread view Subject view Author view Attachment view

This archive was generated by hypermail 2.1.3 : Tue 01 Jul 2003 - 09:11:23 EST