I just started using the "fGarch" package in R and until now everything has been going fine.
I have estimated two successful models from two different datasets that have been estimated correctly using a normal distribution.
I am now trying to estimate a GARCH model with a fitted $t$-distriubtion but cannot get it to work.
One suggested model is:
myGarch=garchFit(formula=~arma(0,1)+garch(1,1),include.shape=TRUE,cond.dist="std", data = log_returns)
Then I use this to look at the shape paramter:
This returns 4, which is the standard degrees of freedom for the $t$-distribution indicating that they have not been estimated? This holds true even if I change the other model parameters or try with a different dataset. I'm sure I'm missing something obvious.