LOGSKEWTDENSITY Function

%LogSkewTDensity(z,eta,lambda) returns the log of the normalized (to unit variance and zero mean) skew-t density from Hansen(1994). z is the normalized argument. eta is the shape parameter (which governs the kurtosis) and lambda (in the range of \([ - 1,1]\) governs the skewness. Before you can use this, you need to use (just one time per program) the instruction

source logskewtdensity.src

%LogSkewTGARCH(h,u) is a related function which is designed for use with the GARCH instruction using the DENSITY option.