I have estimatate a GARCH model using the "rugarch" package in R. The data are the returns on the S&P500 named
xst and stored as
I would like to compare the kurtosis implied by the model specification vs the kurtosis observed in the real data used to specify the model. I searched in the documentation of the "rugarch" package but could not find how to do it.
- If I extract the fitted values of the GARCH model and use the
kurtosisfunction (from package "moments") to calculate the kurtosis implied by the model, is this procedure the appropriate one to find the implied kurtosis?
- If I were to compare it with the observed kurtosis, what should I expect?
- How would I tell if it was the correct solution or not?
Here are the R functions:
model <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), mean.model = list(armaOrder = c(1,1), include.mean = T), distribution.model = "norm") modelfit <- ugarchfit(model, xst) s <-modelfit@fit$fitted.values kurtosis(s)