I don't think this suggestion differs from what
I had in mind and implied.
Nick
[email protected]
Rodrigo A. Alfaro
> I think that it could be more efficient to write the log-likelihood
> associated with the arch model under t-student errors.
Nick Cox
> > 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.
hossein satour
> >> someone know how to estimate ARCH & GARCH models with a
> >> Student distribution
> >> of standardized residuals ?
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