1. Please refer to the following citation.

Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach

2. Provided with logarithm of the gamma function or built-in GED pdf, it is easy to figure out the problem regarding GED. However, you have to know how the logl object works in EViews.

[此贴子已经被作者于2005-8-12 23:48:30编辑过]

in garch class model , there are three distribution : gaussian distribution or student's t distribution and Generalized error distribution in the conditional error term, but we often use the gaussian distribution or student's t distribution, so I suggest you use the two distribution.If you want to need the Generalized error distribution, I can give you the distribution function.

EViews里有分位数函数呀，只要给定自由度和分位点（5%，1%）即可

@qged(p,r)

p是那个5%的东西，r是分位数

我也是刚看到，还不是很熟，你试试

另外楼主是编程做的么？

[此贴子已经被作者于2007-3-6 22:26:11编辑过]

你们最后都怎么做的啊

说的不错啊！我也正在做论文需要用到GED的分位数，困扰我好久了，今天在这里找到了答案，真的很开心啊！大多数论文上都说要用到matlab的逆累积概率分布函数和数值积分功能来计算GED的分位数，但应该没有用Eviews来求更加方便、简单！谢谢haozengshou的提示，还是你看Eviews仔细啊！只稍纠正一点，@qged（p,r)中的p是显著性水平5% 之类，不过 r 不是分位数而是GED分布中的参数，这条命令或函数返回的是分位数！大家多多交流，共同进步哦！祝其他做这方面论文的兄弟们好运啊！

[此贴子已经被作者于2007-6-17 0:03:44编辑过]