Question about rmgarch package in R

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Question about rmgarch package in R

danielagualtero
Good morning, my name is Daniela from Colombia,


I am working with rmgarch package, specifically with the cgarchspec function.

One argument of this function is the "transformation", which is the type of transformation to apply to the marginal innovations of the GARCH fitted models (transformation can be parametric, empirical or semi-parametric). Do you know how this transformations work?. Specially with the parametric transformation, which distribution is assumed? (normal, t student?), how do I access to this estimated parameters? This is the code of the function:



    cgarchspec(uspec, dccOrder = c(1, 1), asymmetric = FALSE,

    distribution.model = list(copula = c("mvnorm", "mvt"),

    method = c("Kendall", "ML"), time.varying = FALSE,

    transformation = c("parametric", "empirical", "spd"))


Thanks,


Daniela Gualtero


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