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
Related Posts with skewed GARCH
Modifying significant digits of the graph's y-axis increments on Stata graph editorHi, I'm trying to edit a graph's y-axis increments on Stata graph editor. For example, the y-axis i…
Need help with codingHi I have an employee dataset of the following form: Employee_Code Office_Code Year Duration Pres…
Error Setting/Reshaping a Multiple Imputation DatasetHi everyone, I have several (potentially stupid) questions about multiple imputation. I've tried rea…
How to make duplications/ repetitions of observationsHello, I am working with some data on children (siblings) from various households from an Indian pa…
Autocorrelation heteroskadasicityHi guys, I have a panel data set with 2Ts 500N and 2Ts 30N I use OLS and Fixed effects estimations I…
Subscribe to:
Post Comments (Atom)
0 Response to skewed GARCH
Post a Comment