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st: RE: ARCH & GARCH models with a Student distribution


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ARCH & GARCH models with a Student distribution
Date   Wed, 16 May 2007 11:48:57 +0100

This is the third time of asking, so it seems that 
no one understands your question or knows the answer. 

I surmise that you want t error terms, not Gaussian 
(normal). 

If so, this might require you
to clone the existing Stata commands and make 
appropriate modifications. That is a guess, but if
so it would not be trivial. In addition, you would 
have to decide whether the df of the Student t 
distribution was a parameter to be estimated. 

Nick 
n.j.cox@durham.ac.uk 

hossein satour

> someone know how to estimate ARCH & GARCH models with a 
> Student distribution 
> of standardized residuals ?

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