[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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