Student Degree of freedom
Posted: 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
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