LOGSKEWGEDDENSITY Function

%LogSkewGEDDensity(x,h,lambda,k) returns the log density at x of the univariate skewed GED from Panayiotis(2015) with mean zero and variance h. lambda is the skewness control (values in \([ - 1,1]\) and k the shape parameter, which controls the kurtosis. k=2, lambda=0 is a normal.

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

source logskewgeddensity.src

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