LOGSKEWTGARCH Function

%LogSkewTGARCH(h,x) is a specialized version of %LogSkewTDensity (from Hansen(1994)) for use with the GARCH instruction with the DENSITY option. It returns the log density at x of the univariate skew-t with mean zero and variance h. The kurtosis and skewness control parameters are put into the global variables %SkewT_eta and %SkewT_lambda for use with the DENSITY option (which requires a function which takes only the variance and residual).

Before you can use this, you need to use (just one time per program) the instruction

source logskewtgarch.src

You also will need to give guess values to %SkewT_eta (something like 10 might be reasonable), and %SkewT_lambda (0 is no skew).

See garchuvflex.rpf for an example of its use.