I'm an italian student using rmgarch package for forecasting covariance matrix. While using ugarchspec function for defining input parameters of univariate GARCH model using a t-Student distribution, I have noticed that there is a parameter called fixed.pars. Following the example given in GitHub this parameter is set as following:
fixed.pars = list(shape = 5)
in case of a t-Student distribution. If i change this setting from 5 to 3 (for example) results are very different: can someone tell me the importance and the usage of this parameter?
Thanks to all
So I think you're using parameter two different ways here. fixed.pars is an argument that allows you to fix one or more parameters from the distribution. fixed.pars allows you to conduct statistical tests on the parameters (see https://stats.stackexchange.com/questions/234738/dcc-garch-how-to-test-restricted-vs-unrestricted-model-with-lr-test) and is required to run some DCC functions (see https://cran.r-project.org/web/packages/rmgarch/rmgarch.pdf).
For the shape parameter (https://en.wikipedia.org/wiki/Shape_parameter), uGARCHmultispec finds a common shape parameter based on your input list of univariate GARCH specifications. Using fixed.pars largely overrides that process and restricts the shape to whatever you specify it to be. You can see the effect of changing shape parameters on different distributions at http://www.randomservices.org/random/apps/SpecialCalculator.html.