fGarch: dist-sgedFit – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

dist-sgedFit

Skew Generalized Error Distribution Parameter Estimation

Function to fit the parameters of the skew generalized error distribution.

sgedFit(x, ...)

`x`	a numeric vector of quantiles.
`...`	parameters parsed to the optimization function `nlm`.

sgedFit returns a list with the following components:

`par`	The best set of parameters found.
`objective`	The value of objective corresponding to `par`.
`convergence`	An integer code. 0 indicates successful convergence.
`message`	A character string giving any additional information returned by the optimizer, or NULL. For details, see PORT documentation.
`iterations`	Number of iterations performed.
`evaluations`	Number of objective function and gradient function evaluations.

Diethelm Wuertz for the Rmetrics R-port.

Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach, Econometrica, 59, 347–370.

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.

## rsged -
   set.seed(1953)
   r = rsged(n = 1000)
       
## sgedFit -
   sgedFit(r)

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

v3042.83.2

GPL (>= 2)

Authors

Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb], Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]

Initial release

2017-11-12