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


From   "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: ARCH & GARCH models with a Student distribution
Date   Wed, 16 May 2007 10:52:25 -0400

I think that it could be more efficient to write the log-likelihood associated with the arch model under t-student errors.
R

----- Original Message ----- From: "Nick Cox" <n.j.cox@durham.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 16, 2007 6:48 AM
Subject: st: RE: ARCH & GARCH models with a Student distribution



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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