一般EGARCH模型一般用AIC BIC 做扰动分布选择，比较t分布，正太分布，ged分布

fGarch package可以估计参数

比如这个是sged的例子——

## sged -

par(mfrow = c(2, 2))

set.seed(1953)

r = rsged(n = 1000)

plot(r, type = "l", main ="sged", col = "steelblue")

# Plot empirical density and comparewith true density:

hist(r, n = 25, probability = TRUE,border = "white", col = "steelblue")

box()

x = seq(min(r), max(r), length =201)

lines(x, dsged(x), lwd = 2)

# Plot df and compare with true df:

plot(sort(r), (1:1000/1000), main ="Probability", col = "steelblue",

ylab = "Probability")

lines(x, psged(x), lwd = 2)

这个是rged的例子——

## rged -

set.seed(1953)

r = rged(n = 1000)

## gedFit -