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List:       r-sig-finance
Subject:    [R-sig-finance] [QUAR] Re:  some doubts in garch models
From:       timh () insightful ! com (Tim Hesterberg)
Date:       2006-03-02 22:10:41
Message-ID: SE2KEXCH01jWQK3zrwz00000518 () se2kexch01 ! insightful ! com
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Note that different people use different terminology.

The terminology I see most is:
	kurtosis = E((X-mu)^4) / var(X)^2 - 3
With this terminology, kurtosis > 0 indicates longer tails than Gaussian.
The S-PLUS kurtosis function computes this kurtosis.

Alternate terminology:
	excess kurtosis = E((X-mu)^4) / var(X)^2 - 3
	kurtosis = E((X-mu)^4) / var(X)^2

Tim Hesterberg

========================================================
> Tim Hesterberg       Research Scientist              |
> timh at insightful.com  Insightful Corp.                |
> (206)802-2319        1700 Westlake Ave. N, Suite 500 |
> (206)283-8691 (fax)  Seattle, WA 98109-3012, U.S.A.  |
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========================================================

> Are you sure that you are getting kurtosis and not
> excess kurtosis?  I've never seen market data that
> weren't fat tailed.  If you have an example, I'm keen
> to see it.
> 
> Using 'qqnorm' should give you a good visual clue.
> 
> Patrick Burns
> patrick at burns-stat.com
> +44 (0)20 8525 0696
> http://www.burns-stat.com
> (home of S Poetry and "A Guide for the Unwilling S User")
> 
> Ricardo Zambrano Aguilera wrote:
> 
> > 	Thank a lot mr Diethelm Wuertz and mr Patrick Burns my best regards..., but then \
> > i have another doubt... and it is a big   if my data... the exchange rate (dollar \
> > (USA) - peso(Chile)), between 1-1-2001 - 12/12/2005, (i?m working with the \
> > log-returns), my first intention is to aplly an ARMA -GARCH , but  their Kurtosis \
> > is 1.182 < 3,  ? can i use an garch modelling??? , because sometimes ,like the \
> > 40% , when i did simulate garch procces ( i made like 1200 obs) , the kurtosis is \
> > nongreater to 3??   atte a ustedes Ricardo Zambrano Aguilera


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