[R-SIG-Finance] [rugarch package] SIgn Bias Test
alexios ghalanos
alexios at 4dscape.com
Sat May 24 22:18:33 CEST 2014
1. Actually, in the paper it is the squared standardized innovations
(z^2) against the non-standardized innovations (residuals) multiplied by
the sign.
2. "fitted" is not what is defined as 'y(t)-mi(theta, x(t))'. This is
called "residuals".
3. The vignette has a typo. The actual test (.signbiasTest) in the
rugarch-tests.R file uses the residuals not the standardized residuals
for the right hand side.
-Alexios
On 24/05/2014 20:44, Zirael wrote:
> 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.
>
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