Sorry, the double-post was not intended. I thought it didn't come through since I wrote the first mail before registering on the ml.
I will show you what I've got so far as I come home. Thanks for your help so far. Johannes On Fri, Feb 18, 2011 at 11:57 AM, Yohan Chalabi <[email protected]>wrote: > Hi Johannes, > > You can start with the code I sent you on R-help > https://stat.ethz.ch/pipermail/r-help/2011-February/268953.html and > > * add the definition of skewness and kurtosis in the likelihood function > * modify the conditional variance as defined in the paper > * replace the normal probability function by the one defined in the paper. > > You might get more help if you show us what you have tried. > > HTH, > Yohan > > On Feb 18, 2011, at 11:05 AM, Johannes Lips wrote: > > > Hello, > > > > I'm quite new to R but tried to learn as much as possible in the last > > few months. > > My problem is that I would like to estimate the model of Leon et al. > (2005). > > I have shortly summarised the most important equations in the following > > pdf file: > > http://hannes.fedorapeople.org/leon2005.pdf > > > > My main question is now how could I introduce these two additional terms > > into the Likelihood function of a(n) (existing) GARCH method. > > > > I looked into some GARCH packages but wasn't really sure where to start. > > I know that this is not really an easy task but I would be very grateful > > if you could help me out by giving me some hints on how to solve this > > problem. > > > > Thanks in advance! > > > > Johannes Lips > > > > P.S. I sent this e-mail also to the R-help mailing list but was told I > > should better send it to the finance-sig. > > https://stat.ethz.ch/pipermail/r-help/2011-February/268871.html > > > > [[alternative HTML version deleted]] > > > > _______________________________________________ > > [email protected] mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R questions > should go. > > > > -- > PhD candidate > Swiss Federal Institute of Technology > Zurich > > www.ethz.ch > > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
