[R-SIG-Finance] [rugarch package] SIgn Bias Test

[Zirael]

Hi,

I have a question about the regression used in the Sign Bias test of Engle
and Ng. In the original paper the regression is for squared standardized
residuals but not against their non-squared values (as it is described in
the "introduction" to rugarch package) - in the paper it is against the
innovations (y(t)). Is it the same?

Or should we even rather use here the "fitted" values of innovations
(y^(t)= y(t)-mi(theta,x(t)), because in fact the standardized residuals
come grom ARMA-GARCH model, not GARCH itself, as it is in the original
paper od Engle and Ng. 

Many thanks for any help.