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modelling volatility using modified garch-m

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modelling volatility using modified garch-m

Posted: Tue May 26, 2009 2:06 pm
by nevjamz
Hi
does anyone know how to use a garch-m model that caters for skewness (perhaps using a z-distribution)?
regards
nev

Re: modelling volatility using modified garch-m

Posted: Wed May 27, 2009 6:12 am
by trubador
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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