When I specify a GARCH-model (using "rugarch" package in R) and choose "std" as conditional distribution then the fit gives me a shape parameter. I read both, some say this is equal to DF (a thread on R-SIG-Finance), some say not.
If I use
rdist function and plot the density, the higher the shape the fatter the tails, this is not very "std" like. The question is, is the shape equal to "v" in the LogLikelihood formula of Engle & Bollerslev (1986) p. 35 or is, these days, a completely different formula used for maximum likelihood estimation of GARCH models with "std" error distribution where a shape parameter is included?
- Engle, Robert F., and Tim Bollerslev. "Modelling the persistence of conditional variances." Econometric Reviews 5.1 (1986): 1-50.