Hi all,
In the context of a seminar paper I am looking into potential influences on the skewness of foreign exchange returns. A professor suggested I initially ran a GARCH-model in EViews in order to have a basic look before doing structural analysis. However, the normal distribution does not allow for skewness and neither does the classic t-distribution, where as the generalized t-distribution does. As far as I can see from your online help etc. I am not sure, whether EViews-GARCH estimation allows for non-symmetric distributions - can you please help me and let me know if one of them does and if so, how to handle and interpret the output?
Thank you!
GARCH with asymmetric distribution
Moderators: EViews Gareth, EViews Moderator
Who is online
Users browsing this forum: No registered users and 43 guests