modelling volatility using modified garch-m

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nevjamz
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Joined: Tue May 26, 2009 1:58 pm

modelling volatility using modified garch-m

Postby nevjamz » Tue May 26, 2009 2:06 pm

Hi
does anyone know how to use a garch-m model that caters for skewness (perhaps using a z-distribution)?
regards
nev
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: modelling volatility using modified garch-m

Postby trubador » Wed May 27, 2009 6:12 am

There is not any built-in procedure for that. Such modifications to typical GARCH models can be handled through "LogL object". I believe, following discussion will help you both in terms of handling the skewness and setting up a GARCH model via LogL object: viewtopic.php?f=4&t=780
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