Dear developers,
Thank you for the work done with the GAS package. I have two questions about it. I see that you included a large number of distributions but left out the Generalized Error Distribution (GED); which is available in other nearby packages such as rugarch. 1) Did you not include this distribution because it is not compatible with the GAS model? Or for no specific reason?
2) Is a GAS-GED or GAS-skGED model theoretically possible? If its possible and is theoretically correct a GAS model with GED distribution I would be interested in programming this distribution to integrate it into the package, if you agree.
Best,
Alejandro
Dear developers,
Thank you for the work done with the GAS package. I have two questions about it. I see that you included a large number of distributions but left out the Generalized Error Distribution (GED); which is available in other nearby packages such as rugarch. 1) Did you not include this distribution because it is not compatible with the GAS model? Or for no specific reason?
2) Is a GAS-GED or GAS-skGED model theoretically possible? If its possible and is theoretically correct a GAS model with GED distribution I would be interested in programming this distribution to integrate it into the package, if you agree.
Best,
Alejandro