Student Degree of freedom

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diego45
Posts: 12
Joined: Tue Nov 13, 2012 7:22 am

Student Degree of freedom

Postby diego45 » Tue Nov 13, 2012 7:27 am

Hi everybody

Would like to ask you about something,

In fact i would like estimate the stochastic volatility of the return of Dow jones and cac40 (yes i'm french) :)

I would like to use a garch model, but firstly i have found that my return doesn't follow a normal distribution but look like to be a student.

I would like to know if someone knows how to assess the degree of freedom of the student. Then i could use a garch modele following the good distibution.

thanks for help

diego45
Posts: 12
Joined: Tue Nov 13, 2012 7:22 am

Re: Student Degree of freedom

Postby diego45 » Tue Nov 13, 2012 8:56 am

i have found
thx


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