I am working on a research project and haven't found information on what the "shape" parameter means. I have the following parameters with EGARCH-ARFIMA(1,0,1)-sged and the shape (5.395559) on the last line is pretty big. Does this mean this model is not optimal and I should automatically discard it because of the large shape? Thank you in advance!
Estimate Std. Error t value Pr(>|t|)
mu 0.000216 0.000223 0.96796 0.333064
ar1 0.893097 0.195596 4.56604 0.000005
ma1 -0.887263 0.201750 -4.39784 0.000011
omega 0.000001 0.000004 0.27670 0.782009
alpha1 0.070701 0.094130 0.75110 0.452590
beta1 0.937615 0.066256 14.15146 0.000000
gamma1 -0.045401 0.061095 -0.74312 0.457407
skew 0.949255 0.029504 32.17404 0.000000
shape 5.395559 1.893820 2.84903 0.004385
