LOGSKEWGEDGARCH Function

%LogSkewGEDGARCH(h,x) is a specialized version of %LogSkewGEDDensity (from Panayiotis(2015)) for use with the GARCH instruction with the DENSITY option. It returns the log density at x of the univariate skewed GED with mean zero and variance h. The kurtosis and skewness control parameters are put into the global variables %SkewGED_k and %SkewGED_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 logskewgedgarch.src

You also will need to give guess values to %SkewGED_k (2 starts at a normal), and %SkewGED_lambda (0 is no skew).

See garchuvflex.rpf for an example of its use.