[R] How does dsgh do the standardization?

Hi, I try to understand how the generalized hyperbolic distribution is standardized. One reference is the rugarch vignette, page 16-18: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf I looked at the code of the dsgh function in the fBasics package:

Re: [R] Value at Risk using a volatility model?

t; > http://www.portfolioprobe.com/2012/11/19/the-estimation-of-value-at-risk-and-expected-shortfall/ > > The trick is to know what the variance of the > distribution is for a given value of the degrees > of freedom. > > Pat > > > > On 06/04/2013 10:54, Stat Tistician wrote: >

[R] Fitting distributions to financial data using volatility model to estimate VaR

Ok, I try it again with plain text, with a simple R code example and just sending it to the r list and you move it to sig finance if it is necessary. I try to be as detailed as possible. I want to fit a distribution to my financial data using a volatility model to estimate the VaR. So in case of

[R] error message sending question to the list

Hi, I tried to send several questions to the lists (both normal R and R-Sig-Finance), but everytime I look them up in the archives my messages end up with the following "An embedded and charset-unspecified text was scrubbed... for example see my post here: https://stat.ethz.ch/pipermail/r-sig-fi

[R] Value at Risk using a volatility model?

Hi, I want to calculate the Value at Risk with using some distirbutions and a volatility model. I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are losses (negative returns) of a company of approx. the last 10 years. So I want to calculated the Value at Risk, this is nothing

[R] Std. error normalmixEM using boot.se

I tried to post this question two times, each time it seemed to fail, since " An embedded and charset-unspecified text was scrubbed..." So I try it again: I fitted a mixture density of two gaussians two my data. I now want to caluclate the standard errors of the estimates via the boot.se comman

[R] Std. error of normalmixEM with boot.se

I fitted a mixture denstiy of two gaussians two my data. I now want to calculated the standard errors of the estimates via the boot.se command of the mixtools package. My question is now, if the output is correct? It seems a bit odd to me, so is this correct what I am doing and can I rely on the va

[R] Skewness of fitted mixture not correct?

I fitted a gaussian mixture to my financial data. The data can be found here: http://uploadeasy.net/upload/32xzq.rar I look at the density with plot(density(dat),col="red",lwd=2) this has a skew of library(e1071) skewness(dat) -0.1284311 Now, I fit a gaussian mixture according to: f(l)=πϕ

[R] Standard error of normalmixEM fit?

I fitted a mixture denstiy of two gaussians two my data. I now want to calculated the standard errors of the estimates via the boot.se command of the mixtools package. My question is now, if the output is correct? It seems a bit odd to me, so is this correct what I am doing and can I rely on the va

[R] normal mixture EM not working?

Hi, I am currently working on fitting a mixture density to financial data. I have the following data: http://s000.tinyupload.com/?file_id=00083355432555420222 I want to fit a mixture density of two normal distributions. I have the formula: f(l)=πϕ(l;μ1,σ21)+(1−π)ϕ(l;μ2,σ22) my R code