[R-SIG-Finance] Standardized residuals for garchFit?
Hofert Marius
m_hofert at web.de
Fri Mar 9 19:51:23 CET 2007
Hi,
does a garchFit() return the residuals or the standardized residuals
if one uses @residuals?
If the former, is there an option for returning the standardized
residuals? In the package description "The fSeries Package" (October
22, 2006), it's mentioned on page 35 that "The method for computation
of the residuals may have an additional argument named standardize
which allows to standardize the residuals by the conditional
variance", but I could not figure out how this option is brought in.
Apart from that, shouldn't it be "...standardize the residuals by the
conditional _standard deviation_" and is this what the option
standardize is actually doing (if applied somehow)?
Best regards
Marius
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