R包装有多少个自由度：'fGarch'

Question

I would like to know how to find out the number of degrees of freedom for a t-student distribution of standardized residuals of a GARCH model (using garchFit on R from the fGarch package).

Is there an other package or any other way to estimate this parameter?

Answer 1

garchFit默认使用4个自由度（在shape参数中指定），因此，如果您未使用include.shape=TRUE进行估计， include.shape=TRUE默认为自由度，固定为4。