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?
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。
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