st: Re: RE: ARCH & GARCH models with a Student distribution

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

I think that it could be more efficient to write the log-likelihood 
associated with the arch model under t-student errors. 
R

----- Original Message ----- 
From: "Nick Cox" <n.j.cox@durham.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 16, 2007 6:48 AM
Subject: st: RE: ARCH & GARCH models with a Student distribution



> This is the third time of asking, so it seems that 
> no one understands your question or knows the answer. 
> I surmise that you want t error terms, not Gaussian 
> (normal). 
> If so, this might require you
> to clone the existing Stata commands and make 
> appropriate modifications. That is a guess, but if
> so it would not be trivial. In addition, you would 
> have to decide whether the df of the Student t 
> distribution was a parameter to be estimated. 
> Nick 
> n.j.cox@durham.ac.uk 
> hossein satour
>
>
> > someone know how to estimate ARCH & GARCH models with a 
> > Student distribution 
> > of standardized residuals ?
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/