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
[email protected]
hossein satour
> someone know how to estimate ARCH & GARCH models with a
> Student distribution
> of standardized residuals ?
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