[R-SIG-Finance] "rugarch" package output help

nserdar snes1982 at hotmail.com
Sat Aug 10 15:54:55 CEST 2013


Hello,

I do not know how to extract " standardized residual"  and " R^2" following 
code:

spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder= c(1,
1), submodel = NULL, external.regressors = NULL, variance.targeting =FALSE),
mean.model=list(armaOrder=c(0,0),include.mean = FALSE, archm = FALSE,archpow
= 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE),distribution.model = "norm", start.pars = list(), fixed.pars =
list())

m<-ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control =
list(1), fit.control = list(stationarity = 1, fixed.se = 0, scale=0))



I do not understand the following explanation for std residuals as well:

"residuals signature(object = "uGARCHfit"): Extracts the residuals. Optional
logical argument
standardize (default is FALSE) allows to extract the standardized
residuals."


Please let me give any examples to extract std. residual and R^2"

Regards,
Ser 



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