what's it mean in Garch model "T_DIST.dof"?

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tanghanpost
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Joined: Tue Dec 30, 2008 6:39 am

what's it mean in Garch model "T_DIST.dof"?

Postby tanghanpost » Wed Jun 08, 2011 4:52 am

hi,
I estimated a Garch(1,1) model , and select the t-distribution in the ERORR BOX,
then i want to know what is the ERORR Box refer to? the mean-equation eroor? or the Variance-equation erorr?
and when i select the t-distribution, there is a "T-DIST.dof" in the estimation result? what's it mean?

very thanks!
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EViews Gareth
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Re: what's it mean in Garch model "T_DIST.dof"?

Postby EViews Gareth » Wed Jun 08, 2011 7:53 am

The User Guide has a pretty good explanation, but in brief, it is the error from the mean equation, and when you assume T-distribution errors, you need to estimate the parameter of the t-dist, which is the t_dist.dof.
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