Skewed error distributions for ARCH estimations

[CharlieEVIEWS]

Dear all,

Is there any way to incorporate skewed error distributions into ARCH type estimations without an extensive LogL environment? Particular regard to skewed distributions estimated in recent papers such as Diamandis et al. (2011) and earlier work which this is based upon, such as Giot and Laurent (2003), and the underlying statistical theory of Fernandez and Steel (1998). Such tools are now recently available in the R package fGarch.

Very best wishes as always.