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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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Display mean spec #66

Open azev77 opened 4 years ago

azev77 commented 4 years ago

Currently:

julia> using ARCHModels

julia> v=GARCH{1, 1}; df=BG96; m=Intercept; F=StdT;

julia> f0= fit(v, df, meanspec=m, dist=F)

TGARCH{0,1,1} model with Student's t errors, T=1974.

Mean equation parameters:
─────────────────────────────────────────────
     Estimate   Std.Error   z value  Pr(>|z|)
─────────────────────────────────────────────
μ  0.00227251  0.00686797  0.330885    0.7407
─────────────────────────────────────────────

Volatility parameters:
──────────────────────────────────────────────
      Estimate   Std.Error   z value  Pr(>|z|)
──────────────────────────────────────────────
ω   0.00232225  0.00163588   1.41958    0.1557
β₁  0.884488    0.0369039   23.9673     <1e-99
α₁  0.124866    0.0404843    3.08429    0.0020
──────────────────────────────────────────────

Distribution parameters:
─────────────────────────────────────────
   Estimate  Std.Error  z value  Pr(>|z|)
─────────────────────────────────────────
ν   4.11211   0.400396  10.2701    <1e-24
─────────────────────────────────────────

The first line of output TGARCH{0,1,1} model with Student's t errors, T=1974. does not give the mean model.

azev77 commented 4 years ago

Perhaps something like: https://github.com/s-broda/ARCHModels.jl/pull/67