Hi
Rt<-garchFit(formula=~garch(1,1),include.mean=FALSE,data=
X2,cond.dist=c("std")) # Student-t Garch.
I got the this output
omega alpha1 beta1 shape
0.0001027529 0.0519514447 0.8887136602 5.6843302645
I use above formulation to calculate the time-varying variance for Student-t
Garch.
Var(t)= omega + alpha*(return(t-1)^2)+beta*(var(t-1))
Should I use the shape parameter in my Garch-student T volatility forecast ?
( Or need another parameter?)
How to use these parameters estimation for time-varying variance for Garch-
Student t ?
Regards,
Ser
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