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st: RE: Re: 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: Re: RE: ARCH & GARCH models with a Student distribution
Date   Thu, 17 May 2007 23:28:42 +0100

I don't think this suggestion differs from what 
I had in mind and implied. 

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

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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