Test of student's t error distribution for GARCH(1,1) model
Posted: Mon Mar 17, 2014 10:20 am
Hello,
Quick question. I have performed a GARCH(1,1) estimation under the assumption that the errors follow a student's t distribution. In addition to mean and variance equation estimates, I get the following:
T-DIST. DOF 19.35768 16.91994 1.144075 0.2526
What is the null hypothesis of this test?
Thank you.
Quick question. I have performed a GARCH(1,1) estimation under the assumption that the errors follow a student's t distribution. In addition to mean and variance equation estimates, I get the following:
T-DIST. DOF 19.35768 16.91994 1.144075 0.2526
What is the null hypothesis of this test?
Thank you.