GARCH with asymmetric distribution
Posted: Sun Feb 28, 2016 12:49 pm
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!
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!