GJR and Skewed-t

leonee · July 27th, 2006, 10:40 am

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 all?This is very important for me, so I´m glad about any reply,thx!!!

pcerutti · July 27th, 2006, 1:17 pm

In the last book by Taylor, there are some examples in Excel of GRJ model with t-student errors.See also the thread in the Books Forum and the files shared.Bye.Pierluigi

leonee · July 28th, 2006, 6:53 am

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