Hi
I was trying to implement Egarch (1,1) with Student t distribution using
rugarch. But I was not getting any value.
Following were the commands that I was using:
library(rugarch)
spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)),
mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
fit=ugarchfit(data=b,spec=spec)
sigma(fit)
May I know the error that I'm making in implementing the model?
Any help with the syntax/commands or any useful content will be appreciated?
Dheeraj
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
