Understanding parameters of ugarch and DCC

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

Understanding parameters of ugarch and DCC

Tommaso
Dear all,
I'm using *rugarch* and *rmgarch *to implement a DCC model over 30
different assets.

While using *ugarchspec *for defining input parameters of univariate GARCH
using a t-Student distribution, I have noticed that there is a parameter
called *fixed.pars*. Using the example given in GitHub, this parameter is
set as following:

fixed.pars = list(shape = 5)

in case of a t-Student distribution. If I change this setting from 5 to 3
(for example) results are very different. Can someone tell me the
importante and the usage of this parameter?

Thanks to all
Tommaso

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
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.