GARCH, t-distributon,why the degree of freedom is 995?
Posted: Fri Aug 30, 2013 12:11 am
I am doing the rolling GARCH estimations under t-distribution. So I use this code to generate the quantile to calculate VaR
But I feel very confused that the degree of freedom stored in the series is 994 or 995.
The is the estimated equation. Is 5.216754 the degree of freedom?
Code: Select all
Series dof_{!j}=garch_n_{!j}.@df
series sdof=dof_{!j}
series quan=@qtdist(0.01,sdof)
The is the estimated equation. Is 5.216754 the degree of freedom?