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

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This returns the log of the normalized (to variance h and zero mean) skew t density. From Hansen (1994), "Autoregressive Conditional Density Estimation", International Economic Review, vol 35, no. 3, pp 705-730, the

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/logskewtgarch.src (text/plain)

Related works:
Journal Article: Autoregressive Conditional Density Estimation (1994)
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