StockDistFit (version 1.0.0)

skew.t_fit: Fit Skewed Student-t Distribution to a vector of returns/stock prices.

Description

This function fits the Skewed Student-t Distribution to a given data vector using the skew.t_fit function from the fGarch package. It returns the estimated parameters along with the AIC and BIC values for the fitted distribution.

Usage

skew.t_fit(vec)

Value

A list with the following elements:

params

A numeric vector of length 4 containing the fitted Skewed Student-t parameters: degrees of freedom, skewness, scale, and location.

aic

The Akaike Information Criterion (AIC) for the fitted model.

bic

The Bayesian Information Criterion (BIC) for the fitted model.

Arguments

vec

A numeric vector of data.

See Also

norm_fit, t_fit, cauchy_fit, ghd_fit, hd_fit, sym.ghd_fit, sym.hd_fit, vg_fit, nig_fit, sym.vg_fit, ged_fit, skew.normal_fit, skew.ged_fit

Examples

stock_prices <- c(10, 11, 12, 13, 14, 17, 18)
returns <- diff(log(stock_prices))
skew.t_fit(returns)