Hello Statalist,
I'm a Ph.D student and I'm currently working on my project, basically I'm trying to construct GARCH model using MLE, so I can play with it a little, hopefully to be able to add skewness.
I've been able to build my GARCH, with a normal density, but now I need to modify the PDF to account for skewness.
My question is: Essentially, Is there a way to add a skewness parameter to the density function in order to allow for non-zero skewness?

Any help is highly appreciated,

SARAH