LOGSKEWGEDGARCH: RATS procedure to compute the log density of skew-GED distribution for use with GARCH

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Returns the log density at x of the univariate skewed GED with mean zero and variance h. From Panayiotis(2015), "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, vol. 19(4), pages 223-266.

Language: RATS
Requires: RATS 10.00
Keywords: Probability; distributions (search for similar items in EconPapers)
Date: 2025-12-29
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https://estima.com/procedures/logskewgedgarch.src (text/plain)

Related works:
Journal Article: Skewed Generalized Error Distribution of Financial Assets and Option Pricing (2015)
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