[R-SIG-Finance] RUGARCH eGARCH and variance targeting

[stoyan.stoyanov]

Thank you, Alexios. 
I will wait for the revision then. Also, a bit off-topic, but it's not
really worth a separate thread:
There is a "filtered" series that can be included in the Sigma Standard
Error Plots generated by ugarchboot (the green line). My understanding is
that this is simply the realized volatility of the out-of-sample
observations. I am curious how I can get the filtered series values
generating the plot. I assumed it would be simply the standard deviation of
returns but my numbers seem different from what is being graphed. Could you
please confirm that I am reading the series correctly and advise me on how
to get the values?

Thanks,
Stoyan

PS Noted about attaching sample data.

-----
Stoyan Stoyanov
The University of Chicago Booth School of Business
MBA Class of 2013
(312) 532-0120 | stoyanov at chicagobooth.edu
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