dist-sgedFit: Skew generalized error distribution parameter estimation

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Skew generalized error distribution parameter estimation

Description

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

Usage

sgedFit(x, ...)

Arguments

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

Value

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.

Author(s)

Diethelm Wuertz for the Rmetrics R-port

References

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.

See Also

sged, sgedSlider

Examples

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

fGarch documentation built on Dec. 12, 2025, 5:07 p.m.