Parameter gamma from skewt-package

General
1

hi guys,
I have a question. how can one calculate the skewing parameter gamma, which is necessary to use functions from the skewt-package?

Thankyou for your responses!
Joe

2

I did not find code to fit a skewt distribution with the gamma parametrisation.
Maybe this works for you.

library(fGarch)
#> Warning: package 'fGarch' was built under R version 4.1.2
#> Loading required package: timeDate
#> Loading required package: timeSeries
#> Loading required package: fBasics

set.seed(2021)
n <- 10000
r <-  rsstd(n, mean = 0, sd = 1.1, nu = 5.2, xi = 1.3)

fit <- sstdFit(r)
fit$estimate
#>        mean          sd          nu          xi 
#> -0.01468788  1.07768059  5.74581257  1.30790698
Created on 2021-12-18 by the reprex package (v2.0.1)
3

I`ll try it, thank you.
Do you know how to make a rolling fitting process?
i always get errors

4

No, I can't help you with that.
When you provide a minimal reproducible example for the error, someone will be able to help you.