Hi Pierluigi,thanks a lot, I´ll heve a look at it. Bye,Diana

<t>Hi,to do my calculations with my GARCH models I have to modify the standard GRJ. In addition I´ll use the skewed-t, for which I need to model the the skewness and the kurtosis parameter as a function of the conditional variance. Does anybody know how this is done or whether this is possible at al...

Time series analysis with Levy Processes instead of GARCH? I´ve just heard of it, so what ist the basic idea and which method is better?

<t>Hi, I´m new so I´m not that advanced, but may be this could be a part of an answer. Use asymetric GARCH in combination with ARCD proposrd by Hansen. you get time varying parameters that depend on the daily available information on forecasting variables. see also an interesting article:Hueng/McDon...

<t>Hi, I´m new so I´m not that advanced, but may be this coul be a part of an answer. Use asymetric GARCH in combination with ARCD proposrd by Hansen. you get time varying parameters that depend on the daily available information on forecasting variables. see also an interesting article:Hueng/McDona...